The Contribution of Structural Break Models to Forecasting Macroeconomic Series
比较了多种结构断点预测模型的表现，基于60个宏观经济季度和月度时间序列的实证分析，发现大多数序列存在结构断点且对预测重要，但无单一模型始终最优，有时简单滚动窗口预测效果良好。
This paper compares the forecasting performance of different models which have been proposed for forecasting in the presence of structural breaks. These models differ in their treatment of the break process, the model which applies in each regime and the out-of-sample probability of a break occurring. In an extensive empirical evaluation involving 60 macroeconomic quarterly and monthly time series, we demonstrate the presence of structural breaks and their importance for forecasting in the vast majority of cases. We find no single forecasting model consistently works best in the presence of structural breaks. In many cases, the formal modeling of the break process is important in achieving good forecast performance. \nHowever, there are also many cases where simple, rolling window based forecasts perform well.