Policymaking in periods of structural changes and structural breaks : rolling windows revisited

Loading...
Thumbnail Image

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.