The contribution of structural break models to forecasting of macroeconomic series

Luc Bauwens, Gary Koop, Dimitris Korobilis, Jeroen Rombouts

Research output: Contribution to journalArticle

27 Citations (Scopus)

Abstract

This paper compares the forecasting performance of models that have been proposed for forecasting in the presence of structural breaks. They differ in their treatment of the break process, the model applied in each regime and the out-of-sample probability of a break. In an extensive empirical evaluation, we demonstrate the presence of breaks and their importance for forecasting. We find no single model that consistently works best in the presence of breaks. In many cases, the formal modeling of the break process is important in achieving a good forecast performance. However, there are also many cases where rolling window forecasts perform well.
Original languageEnglish
Number of pages25
JournalJournal of Applied Econometrics
Early online date12 Mar 2014
DOIs
Publication statusE-pub ahead of print - 12 Mar 2014

Keywords

  • forecasting performance models
  • structural break models
  • rolling window forecasts

Projects

Cite this