Forecast robustness in macroeconometric models
Gunnar Bårdsen (),
Dag Kolsrud and
Ragnar Nymoen ()
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Dag Kolsrud: Statistics Norway
Working Paper Series from Department of Economics, Norwegian University of Science and Technology
The paper investigates explanations for forecasting invariance to structural breaks. After highlighting the role of policy, we isolate possible structural invariance in a simplified dynamic macro model that nevertheless has features in common with the standard model of aggregate demand and aggregate supply. We find, as expected, that structural breaks in growth rates and in the means of cointegrating relationships will always damage some of the variables. But we also find examples of "insulation" from shocks. The results about partial robustness is a property of the economy itself (here represented by the DGP) and not of the forecasts.
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Journal Article: Forecast robustness in macroeconometric models (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:nst:samfok:13712
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