Forecast Robustness in Macroeconometric Models
Journal article, Peer reviewed
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Original versionJournal of Forecasting. 2017, 36 (6), 629-639. 10.1002/for.2459
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.