Clark, Todd E.; McCracken, Michael W. - In: Journal of Money, Credit and Banking 38 (2006) 5, pp. 1127-1148
This paper evaluates potential explanations for the sometimes poor forecasting performance of the Phillips curve. One explanation is that out-of-sample metrics are noisy or, equivalently, have relatively low power. Another potential explanation is instability in the coefficients of the model. To...