 Macroeconomic forecasting during the Great Recession: the return of non-linearity?Laurent Ferrara, Massimiliano Marcellino and Matteo Mogliani Post-Print from HAL Abstract: The debate on the forecasting ability of non-linear models has a long history, and the Great Recession episode provides us with an interesting opportunity for a reassessment of the forecasting performance of several classes of nonlinear models. We conduct an extensive analysis over a large quarterly database consisting of major macroeconomic variables for a large panel of countries. It turns out that, on average, non-linear models cannot outperform standard linear specifications, even during the Great Recession. However, non-linear models lead to an improvement of the predictive accuracy in almost 40% of cases, and interesting specific patterns emerge among models, variables and countries. These results suggest that this specific episode seems to be characterized by a sequence of shocks with unusual large magnitude, rather than by an increase in the degree of non-linearity of the stochastic processes underlying the main macroeconomic time series. Keywords: [No; keyword; available] (search for similar items in EconPapers) Published in International Journal of Forecasting, 2015, 31, pp.664-679 There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01635951 Access Statistics for this paper More papers in Post-Print from HAL |
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