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Forecasting in nonstationary environments: What works and what doesn't in reduced-form and structural models

This review provides an overview of forecasting methods that can help researchers forecast in the presence of non-stationarities caused by instabilities. The emphasis of the review is both theoretical and applied, and provides several examples of interest to economists. We show that modeling instabilities can help, but it depends on how they are modeled. We also show how to robustify a model against instabilities.
Year of publication:
2014-12
Authors: Giacomini, Raffaella ; Rossi, Barbara
Institutions: Department of Economics and Business, Universitat Pompeu Fabra
Subject: Forecasting | instabilities | structural breaks
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Source:
Persistent link: https://www.econbiz.de/10011250937
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