A Comparison of Forecasting Procedures for Macroeconomic Series: the Contribution of Structural Break Models

This paper compares the forecasting performance of different models which have been proposed for forecasting in the presence of structural breaks. These models differ in their treatment of the break process, the parameters defining the model which applies in each regime and the out-of-sample probabi...

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Bibliographic details
Main Author: Rombouts, Jeroen VK
Koop, Gary
Korobilis, Dimitris
Bauwens, Luc
Format: Paper
Language: English
Place of publication: 2011
Related: CIRPEE
Data of publication: 2011
Series: Cahiers de recherche
Online Access: available in Bonn?
Database: RePEc IDEAS
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