Forecasting when model stability is uncertain

Project: Research

Project Description

Forecasts of macroeconomic and financial variables play a crucial role in forward planning undertaken by
government and financial institutions, but the predictability of these series is often context and time specific, making standard forecasting techniques unreliable. This project will develop new modelling and forecasting techniques that can adapt to structural changes in the model soon after they occur. It will derive relevant econometric theory, use simulations to study the properties of the proposed techniques, as well as apply
these new techniques to observed data.
StatusActive
Effective start/end date1/01/1530/06/19

Funding

  • Australian Research Council (ARC): AUD262,400.00
  • Australian Research Council (ARC)
  • Monash University
  • The London School of Economics and Political Science