This paper sifts through explanations for the weakness of the out-of-sample evidence on the Phillips curve relative to the in-sample evidence, focusing on the output gap-based models. One explanation could be that, even when the model are stable, out-of-sample metrics are less powerful than...

While conditional forecasting has become prevalent both in the academic literature and in practice (e.g., bank stress testing, scenario forecasting), its applications typically focus on continuous variables. In this paper, we merge elements from the literature on the construction and...