Policymaking in periods of structural changes and structural breaks : rolling windows revisited
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Date
Authors
Giannellis, Nikolaos
Hall, Stephen George
Kouretas, Georgios P.
Tavlas, George S.
Wang, Yongli
Journal Title
Journal ISSN
Volume Title
Publisher
Wiley
Abstract
Early studies that used rolling windows found it to be a useful forecasting technique. These studies were, by-and-large, based on
pre-2000 data, which were nonstationary. Subsequent work, based on stationary data from the mid-1990s to 2020, has not been
able to confirm that finding. However, this latter result may reflect the fact that there was relatively little structural instability
between the mid-1990s and 2020: The data had become stationary. Following the series of shocks of the early 2020s, this is no
longer the case because the shocks produced nonstationarity in the macroeconomic data, such as inflation. Consequently, rolling
windows may again be a sensible way forward. The present study assesses this conjecture.
Description
DATA AVAILABILITY STATEMENT : The data were retrieved from the Federal Reserve Bank of St. Louis FRED database. The data are available upon request from the authors.
Keywords
Forecast combinations, Rolling windows, Structural breaks, SDG-08: Decent work and economic growth
Sustainable Development Goals
SDG-08:Decent work and economic growth
Citation
Giannellis, N., Hall, S.G., Kouretas, G.P. et al. 2025, 'Policymaking in periods of structural changes and structural breaks : rolling windows revisited', Journal of Forecasting, vol. 44, no. 3, pp. 851-855, doi : 10.1002/for.3269.