Forecast robustness in macroeconometric models
| Autor: | Ragnar Nymoen, Gunnar Bårdsen, Dag Kolsrud |
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| Rok vydání: | 2017 |
| Předmět: |
Stylized fact
Process (engineering) Strategy and Management 05 social sciences Management Science and Operations Research Computer Science Applications Econometric model Modeling and Simulation 0502 economics and business Econometrics Economics 050207 economics Statistics Probability and Uncertainty Macro Robustness (economics) 050205 econometrics |
| Zdroj: | Journal of Forecasting. 36:629-639 |
| ISSN: | 0277-6693 |
| DOI: | 10.1002/for.2459 |
| Popis: | This paper investigates potential invariance of mean forecast errors to structural breaks in the data generating process. From the general forecasting literature, such robustness is expected to be a rare occurrence. With the aid of a stylized macro model we are able to identify some economically relevant cases of robustness and to interpret them economically. We give an interpretation in terms of co-breaking. The analytical results resound well with the forecasting record of a medium-scale econometric model of the Norwegian economy. |
| Databáze: | OpenAIRE |
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