Forecasting in nonstationary environments: What works and what doesn't in reduced-form and structural models
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- dc.contributor.author Giacomini, Raffaella
- dc.contributor.author Rossi, Barbara, 1971-
- dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
- dc.date.accessioned 2020-05-25T09:26:58Z
- dc.date.available 2020-05-25T09:26:58Z
- dc.date.issued 2014-12-01
- dc.date.modified 2020-05-25T09:24:37Z
- dc.description.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.
- dc.format.mimetype application/pdf*
- dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=1476
- dc.identifier.citation Annual Review of Economics, 7, 207-229, 2015
- dc.identifier.uri http://hdl.handle.net/10230/23388
- dc.language.iso eng
- dc.relation.ispartofseries Economics and Business Working Papers Series; 1476
- dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
- dc.rights.accessRights info:eu-repo/semantics/openAccess
- dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
- dc.subject.keyword forecasting
- dc.subject.keyword instabilities
- dc.subject.keyword structural breaks.
- dc.subject.keyword Macroeconomics and International Economics
- dc.subject.keyword Statistics, Econometrics and Quantitative Methods
- dc.title Forecasting in nonstationary environments: What works and what doesn't in reduced-form and structural models
- dc.type info:eu-repo/semantics/workingPaper