Time-series model forecasts and structural breaks: evidence from Spanish pre-EMU interest rates

• Published in: Applied economics Vol. 40; no. 13; pp. 1707 - 1721
• Main Authors: Fernández-Serrano, José Luis, Robles-Fernández, M. Dolores
• Format: Journal Article
• Language: English
• Published: London Routledge 01.07.2008; Taylor and Francis Journals; Taylor & Francis Ltd
• Series: Applied Economics
• Subjects: Accuracy; Economic forecasting; Economic forecasts; Economic models; Interest rates; Monetary economics; Money market; Money markets; Recent economic history; Spain; Structural change; Studies; Time series; Spain

Analysis of the future behaviour of economic variables can be biased if structural breaks are not considered. When these structural breaks are present, the in-sample fit of a model gives us a poor guide to ex ante forecast performance. This problem is true for both univariate and multivariate analys...