Giannone, Domenico; D'Agostino, Antonello; Gambetti, Luca - European Centre for Advanced Research in Economics and … - 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 Coe±cients VAR with Stochastic...