Published in:
Journal of Forecasting, Volume 36, Issue 6, pp. 629-639, September 2017
DOI:
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.