Have Economic Models' Forecasting Performance For US Output Growth And Inflation Changed Over Time, And When?
Source: Duke University
The authors evaluate various economic models' relative performance in forecasting future US output growth and inflation on a monthly basis. The approach takes into account the possibility that the models' relative performance can be varying over time. They show that the models' relative performance has, in fact, changed dramatically over time, both for revised and real-time data, and investigate possible factors that might explain such changes. In addition, this paper establishes two empirical stylized facts.