EconPapers    
Economics at your fingertips  
 

A comparison of Forecasting Procedures for Macroeconomic Series: The Contribution of Structural Break Models

Luc Bauwens (), Gary Koop (), Dimitris Korobilis and Jeroen Rombouts ()

No 1113, Working Papers from University of Strathclyde Business School, Department of Economics

Abstract: This paper compares the forecasting performance of different models which have been proposed for forecasting in the presence of structural breaks. These models differ in their treatment of the break process, the parameters defining the model which applies in each regime and the out-of-sample probability of a break occurring. In an extensive empirical evaluation involving many important macroeconomic time series, we demonstrate the presence of structural breaks and their importance for forecasting in the vast majority of cases. However, we find no single forecasting model consistently works best in the presence of structural breaks. In many cases, the formal modeling of the break process is important in achieving good forecast performance. However, there are also many cases where simple, rolling OLS forecasts perform well.

Keywords: Forecasting; change-points; Markov switching; Bayesian inference. (search for similar items in EconPapers)
JEL-codes: C11 C22 C53 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-ets and nep-for
Date: 2011-04
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (5) Track citations by RSS feed

Downloads: (external link)
http://www.strath.ac.uk/media/1newwebsite/departme ... 2011/11-13_Final.pdf (application/pdf)

Related works:
Journal Article: The Contribution of Structural Break Models to Forecasting Macroeconomic Series (2015) Downloads
Working Paper: A Comparison of Forecasting Procedures For Macroeconomic Series: The Contribution of Structural Break Models (2011) Downloads
Working Paper: A comparison of forecasting procedures for macroeconomic series: the contribution of structural break models (2011) Downloads
Working Paper: A Comparison Of Forecasting Procedures For Macroeconomic Series: The Contribution Of Structural Break Models (2011) Downloads
Working Paper: A Comparison of Forecasting Procedures for Macroeconomic Series: the Contribution of Structural Break Models (2011) Downloads
Working Paper: The Contribution of Structural Break Models to Forecasting Macroeconomic Series (2011) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:str:wpaper:1113

Access Statistics for this paper

More papers in Working Papers from University of Strathclyde Business School, Department of Economics Contact information at EDIRC.
Series data maintained by Kirsty Hall ().

 
Page updated 2018-01-22
Handle: RePEc:str:wpaper:1113