This paper compares the forecasting performance of models that have been proposed for forecasting in the presence of structural breaks. They differ in their treatment of the break process, the model applied in each regime and the out‐of‐sample probability of a break. In an extensive empirical evaluation, we demonstrate the presence of breaks and their importance for forecasting. We find no single model that consistently works best in the presence of breaks. In many cases, the formal modeling of the break process is important in achieving a good forecast performance. However, there are also many cases where rolling window forecasts perform well. Copyright © 2014 John Wiley & Sons, Ltd.