Tax Revenue Forecasts with Possible Structural Changes
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This paper focuses on forecasting national tax revenue processes using several time-series forecasting models and their combination. Possibility of structural change in tax revenue is tested, the out-of- sample forecast performance of several forecasts is compared, and model confidence sets are constructed. We find several structural changes or nonlinear trends in tax revenue series and related macro-variables. However it is still uncertain what kind of nonlinear trends is appropriate for the purpose of forecasting. Forecasts with some nonlinear trend corrections clearly dominate forecasts with a linear trend but there is some uncertainty in the optimal way of non-linearity correction.
Abstract
This paper focuses on forecasting national tax revenue processes using several time-series forecasting models and their combination. Possibility of structural change in tax revenue is tested, the out-of- sample forecast performance of several forecasts is compared, and model confidence sets are constructed. We find several structural changes or nonlinear trends in tax revenue series and related macro-variables. However it is still uncertain what kind of nonlinear trends is appropriate for the purpose of forecasting. Forecasts with some nonlinear trend corrections clearly dominate forecasts with a linear trend but there is some uncertainty in the optimal way of non-linearity correction.
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