期刊名称：CORE Discussion Papers / Center for Operations Research and Econometrics (UCL), Louvain
出版年度：2011
卷号：2011
期号：1
出版社：Center for Operations Research and Econometrics (UCL), Louvain
摘要：This paper compares the forecasting performance of different models which have
been proposed for forecasting in the presence of structural breaks. These models
differ in their treatment of the break process, the parameters defining the model
which applies in each regime and the out-of-sample probability of a break
occurring. In an extensive empirical evaluation involving many important
macroeconomic time series, we demonstrate the presence of structural breaks and
their importance for forecasting in the vast majority of cases. However, we find no
single forecasting model consistently works best in the presence of structural
breaks. In many cases, the formal modeling of the break process is important in
achieving good forecast performance. However, there are also many cases where
simple, rolling OLS forecasts perform well.
