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Forecast robustness in macroeconometric models
Author(s) -
Bårdsen Gunnar,
Kolsrud Dag,
Nymoen Ragnar
Publication year - 2017
Publication title -
journal of forecasting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.543
H-Index - 59
eISSN - 1099-131X
pISSN - 0277-6693
DOI - 10.1002/for.2459
Subject(s) - stylized fact , robustness (evolution) , econometrics , computer science , econometric model , norwegian , macro , economics , macroeconomics , biochemistry , chemistry , linguistics , philosophy , gene , programming language
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.