Forecast Robustness in Macroeconometric Models

Gunnar Bårdsen, Dag Kolsrud and Ragnar Nymoen

Photo: Journal of Forecasting

Published in:

Journal of Forecasting, Volume 36, Issue 6, pp. 629-639, September 2017

DOI: 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.

Published Nov. 24, 2017 2:24 PM - Last modified Nov. 24, 2017 2:24 PM