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Forecast Robustness in Macroeconometric Models

Bårdsen, Gunnar; Kolsrud, Dag; Nymoen, Ragnar
Journal article, Peer reviewed
Published version
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B-rdsen_et_al-2017-Journal_of_Forecasting+%281%29.pdf (Locked)
URI
http://hdl.handle.net/11250/2503931
Date
2017
Metadata
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  • Institutt for samfunnsøkonomi [769]
  • Publikasjoner fra CRIStin - NTNU [26591]
Original version
Journal of Forecasting. 2017, 36 (6), 629-639.   10.1002/for.2459
Abstract
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.
Publisher
Wiley
Journal
Journal of Forecasting

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