Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/153384
Authors: 
Mestre, Ricardo
McAdam, Peter
Year of Publication: 
2008
Series/Report no.: 
ECB Working Paper 950
Abstract: 
We evaluate residual projection strategies in the context of a large-scale macro model of the euro area and smaller benchmark time-series models. The exercises attempt to measure the accuracy of model-based forecasts simulated both out-of-sample and in-sample. Both exercises incorporate alternative residual-projection methods, to assess the importance of unaccounted-for breaks in forecast accuracy and off-model judgment. Conclusions reached are that simple mechanical residual adjustments have a significant impact of forecasting accuracy irrespective of the model in use, ostensibly due to the presence of breaks in trends in the data. The testing procedure and conclusions are applicable to a wide class of models and thus of general interest.
Subjects: 
Forecast accuracy
Forecast Projections
In-Sample
Macro-model
Out-of-Sample
Structural Break
JEL: 
C52
E30
E32
E37
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.