| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP14472
|
| DP14472 Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them |
| Barbara Rossi
|
| 发表日期 | 2020-03-05
|
| 出版年 | 2020
|
| 语种 | 英语
|
| 摘要 | This article provides guidance on how to evaluate and improve the forecasting ability of models in the presence of instabilities, which are widespread in economic time series. Empirically relevant examples include predicting the financial crisis of 2007-2008, as well as, more broadly, fluctuations in asset prices, exchange rates, output growth and inflation. In the context of unstable environments, I discuss how to assess models' forecasting ability; how to robustify models' estimation; and how to correctly report measures of forecast uncertainty. Importantly, and perhaps surprisingly, breaks in models' parameters are neither necessary nor sufficient to generate time variation in models' forecasting performance: thus, one should not test for breaks in models' parameters, but rather evaluate their forecasting ability in a robust way. In addition, local measures of models' forecasting performance are more appropriate than traditional, average measures. |
| 主题 | Monetary Economics and Fluctuations
|
| 关键词 | Business cycles
Output growth
Great recession
Forecasting
Instabilities
Time variation
inflation
Structural breaks
Density forecasts
Forecast confidence intervals
|
| URL | https://cepr.org/publications/dp14472
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/543371
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推荐引用方式
GB/T 7714 |
Barbara Rossi. DP14472 Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them. 2020.
|
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