This paper proposes new methodologies for evaluating out-of-sample forecasting performance that are robust to the choice of the estimation window size. The methodologies involve evaluating the predictive ability of forecasting models over a wide range of window sizes. We show that the tests...

We contribute to the recent debate on the instability of the slope of the Phillips curve by offering insights from a flexible time-varying instrumental variable approach robust to weak instruments. Our robust approach focuses directly on the Phillips curve and allows general forms of...