Concepedia

Forecast Instability Analysis

Forecast Instability Analysis is a methodological framework within structural break analysis that identifies and assesses the sensitivity of forecast performance to changes in model parameters or data-generating processes over time.

34

Publications

3.2K

Citations

54

Authors

62

Institutions

Publications per year

2017–2026

6

Parents

Publications

34

Evidence on Structural Instability in Macroeconomic Time Series Relations

James H. Stock, Mark W. Watson · Journal of Business and Economic Statistics · 1996 · 633 citations · Full text

, , +16

Instability of return prediction models

Bradley S. Paye, Allan Timmermann · Journal of Empirical Finance · 2006 · 454 citations

, , +17

Structural breaks and GARCH models of exchange rate volatility

David E. Rapach, Jack Strauss · Journal of Applied Econometrics · 2008 · 228 citations

, , +16

Detecting and Predicting Forecast Breakdowns

Raffaella Giacomini, Barbara Rossi · The Review of Economic Studies · 2009 · 188 citations

, , +15

Averaging forecasts from VARs with uncertain instabilities

Todd E. Clark, Michael W. McCracken · Journal of Applied Econometrics · 2009 · 183 citations

, , +15

1–5 of 34

Authors

54

  1. BR
    Barbara Rossi

    Barcelona School of Economics, Spain

    4 publications · 254 citations

    4

    h-index

  2. TE
    Todd E. Clark

    Federal Reserve Bank of Cleveland, United States

    3 publications · 241 citations

    3

    h-index

  3. MM
    Massimiliano Marcellino

    Bocconi University, Italy

    3 publications · 75 citations

    3

    h-index

  4. RG
    Raffaella Giacomini

    University College London, United Kingdom

    3 publications · 242 citations

    3

    h-index

  5. AT
    Allan Timmermann

    University of California San Diego, United States

    3 publications · 688 citations

    3

    h-index

1–5 of 54

Institutions

62

  1. Centre for Economic Policy Research

    London, United Kingdom

    3 h-index

    3 publications

    247 citations

  2. Centre de Recerca en Economia Internacional

    Barcelona, Spain

    2 h-index

    2 publications

    55 citations

  3. University College London

    London, United Kingdom

    2 h-index

    2 publications

    74 citations

  4. Universitat Pompeu Fabra

    Barcelona, Spain

    2 h-index

    2 publications

    55 citations

  5. Woodrow Wilson International Center for Scholars

    Washington, United States

    2 h-index

    2 publications

    812 citations

  6. Princeton University

    Princeton, United States

    2 h-index

    2 publications

    812 citations

  7. Erasmus University Rotterdam

    Rotterdam, The Netherlands

    2 h-index

    2 publications

    75 citations

  8. Federal Reserve Bank of St. Louis

    St Louis, United States

    2 h-index

    2 publications

    228 citations

1–8 of 62

Venues

  1. SSRN Electronic Journal

    Repository · 7 publications · 410 citations

    7

    h-index

  2. International Journal of Forecasting

    3 publications · 225 citations

    3

    h-index

  3. Journal of Business and Economic Statistics

    JBES · 3 publications · 823 citations

    3

    h-index

  4. Journal of Applied Econometrics

    3 publications · 423 citations

    3

    h-index

  5. RePEc: Research Papers in Economics

    Repository · 2 publications · 22 citations

    2

    h-index

1–5