Delli Gatti, Domenico; Gusella, Filippo; Ricchiuti, Giorgio - 2024
instability models and assess their out-of-sample forecasting accuracy. We compare a benchmark linear random walk model, which … implies exogenous instability phenomena, with a linear state-space model and a nonlinear Markov regime-switching model, both … nonlinearities improves the model’s predictability both in the short, medium, and long run. …