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1、Forecast-BasedModelSelectioninthePresenceofStructuralBreaks*ToddE.ClarkandMichaelW.McCrackenFederalReserveBankofKansasCityandUniversityofMissouri-ColumbiaMarch2003AbstractThispaperpresentsanalytical,MonteCarlo,andempiricalevidenceontheeffectsofstructuralbreaksontestsforequalf
2、orecastaccuracyandforecastencompassing.Theforecastsaregeneratedfromtwoparametric,linearmodelsthatarenestedunderthenull.Thealternativehypothesesallowacausalrelationshipthatissubjecttobreaksduringthesample.Withthisframework,weshowthatin-sampleexplanatorypowerisreadilyfoundbecau
3、setheusualF-testwillindicatecausalityifitexistedforanyportionofthesample.Out-of-samplepredictivepowercanbehardertofindbecausetheresultsofout-of-sampletestsarehighlydependentonthetimingofthepredictiveability.Moreover,out-of-samplepredictivepowerishardertofindwithsometeststhanw
4、ithothers:thepowerofF-typetestsofequalforecastaccuracyandencompassingoftendominatesthatofthemorecommonly-usedt-typealternatives.Overall,out-of-sampletestsareeffectiveatrevealingwhetheronevariablehaspredictivepowerforanotherattheendofthesample.Basedontheseresultsandadditionale
5、videncefromanempiricalapplicationrelatingGDPgrowthtoaninterestratetermspread,weconcludethatstructuralbreakscanexplainwhyresearchersoftenfindevidenceofin-sample,butnotout-of-sample,predictivecontent.Keywords:power,structuralbreaks,forecastevaluation,modelselection.JELNos.:C53,
6、C12,C52*Clark:EconomicResearchDept.,FederalReserveBankofKansasCity,925GrandBlvd.,KansasCity,MO64198,todd.e.clark@kc.frb.org.McCracken(correspondingauthor):Dept.ofEconomics,UniversityofMissouri-Columbia,118ProfessionalBuilding,Columbia,MO65211,mccrackenm@missouri.edu.Theauthor
7、sgratefullyacknowledgethehelpfulcommentsof:GregoryChow,DavidRapach,NormanSwanson,andJonathanWright;seminarparticipantsatCornellUniversity,EmoryUniversity,theUniversityofMissouri,andtheFederalReserveBankofKansasCity;andparticipantsatthe2001InternationalSymposiumonForecasting,2
8、001MidwestEconometricsGroupMeetings,Winter2002EconometricSocietyMeet
