AVERAGING FORECASTS FROM VARs WITH UNCERTAIN INSTABILITIES

Recent work suggests VAR models of output. Inflation. and interest rates may be prone to Instabilities In the face of such instabilities, a variety of estimation of forecasting, methods might be used to improve the accuracy of forecasts from a VAR The uncertainty Inherent in any single representation of instability could mean that combining, forecasts from a range of approaches will improve forecast accuracy Focusing on models of US output, prices, and interest rates. fills paper examines the effectiveness of combining various models of Instability in Improving VAR forecasts made with real-time data Copyright (C) 2009 John Wiley & Sons. Ltd