Martinez, Andrew B.; Castle, Jennifer; Hendry, David F. - In: Essays in honor of M. Hashem Pesaran : prediction and …, (pp. 143-165). 2022
We investigate whether smooth robust methods for forecasting can help mitigate pronounced and persistent failure across multiple forecast horizons. We demonstrate that naive predictors are interpretable as local estimators of the long-run relationship with the advantage of adapting quickly after...