Forecasting in Nonstationary Environments: What Works and What Doesnít in Reduced-Form and Structural Models | E-Axes
 

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Forecasting in Nonstationary Environments: What Works and What Doesnít in Reduced-Form and Structural Models

date Date: December 4, 2014
date Author(s): Raffaella Giacomini and Barbara Rossi
date Affiliation: UCL - Univ: Pompeu Fabra;
Abstract

This review provides an overview of forecasting methods that can help researchers forecast
in the presence of non-stationarities caused by instabilities. The emphasis of the review is both
theoretical and applied, and provides several examples of interest to economists. We show that
modeling instabilities can help, but it depends on how they are modeled. We also show how to
robustify a model against instabilities.

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