D'Agostino, Antonello; Gambetti, Luca; Giannone, Domenico - C.E.P.R. Discussion Papers - 2009
The aim of this paper is to assess whether explicitly modeling structural change increases the accuracy of macroeconomic forecasts. We produce real time out-of-sample forecasts for inflation, the unemployment rate and the interest rate using a Time-Varying Coefficients VAR with Stochastic...