This review provides an overview of forecasting methods that can help researchers forecast in the presence of non …-stationarities caused by instabilities. The emphasis of the review is both theoretical and applied, and provides several examples of … interest to economists. We show that modeling instabilities can help, but it depends on how they are modeled. We also show how …

While forecasting is a common practice in academia, government and business alike, practitioners are often left … wondering how to choose the sample for estimating forecasting models. When we forecast inflation in 2014, for example, should we … time series, and the forecasting performance is often quite sensitive to the choice of such window size. In this paper, we …

This review provides an overview of forecasting methods that can help researchers forecast in the presence of non …-stationarities caused by instabilities. The emphasis of the review is both theoretical and applied, and provides several examples of … interest to economists. We show that modeling instabilities can help, but it depends on how they are modeled. We also show how …

models’ forecasting performance into asymptotically uncorrelated components that measure instabilities in the forecasting …We propose a new methodology to identify the sources of models’ forecasting performance. The methodology decomposes the … understanding the causes of the poor forecasting ability of economic models for exchange rate determination. …

issues in forecasting and structural analysis. An application to the estimation of a system of time-varying reaction …