Andrea Viselli

Rome Conference on Macroeconometrics and Time Series Doi: https://andreaviselli.it/dm-dashboard/#simulation

We address forecast evaluation in the presence of extreme, one-off shocks, such as the impact of Covid-19 on GDP. Conventional predictive ability tests may have no power under such brief but severe instabilities, potentially overlooking the superior accuracy of forecasts during normal periods. To remove this effect, we propose winsorizing forecast errors to neutralize the influence of extreme events. Using the US Survey of Professional Forecasters for real GDP growth, we illustrate how this approach uncovers superior performance that standard tests would otherwise fail to detect.

Workshop on “Transition in a Changing World” Doi: https://www.bi.no/en/about-bi/events/2026/september/workshop-on-transition-in-a-changing-world/