of diagnostic tests. The models are shown to produce good in-sample forecasting performance and also out …-of-sample forecasting performance which dominates a random walk. …

there is wage/price rigidity, but otherwise enjoys flexible wages and prices with a one quarter information lag. Using a VAR …

generalize Campbell's VAR implementation of Campbell and Shiller's present value decomposition to allow for parameter instability …

Recent research has shown that recursive real-time VAR forecasts of the real price of oil tend to be more accurate than …. Second, many central banks are interested in forecasting the real price of Brent crude oil rather than any of the U ….S. benchmarks. Third, central banks outside the United States are interested in forecasting the real price of oil measured in …

and what assumptions we have made in doing so. Furthermore, we perform a VAR analysis to provide some simple empirical …

Out-of-sample forecasting tests of DSGE models against time-series benchmarks such as an unrestricted VAR are … improve forecasts from an unrestricted VAR. In testing forecasting capacity they also have quite weak power, particularly on … increasingly used to check a) the specification b) the forecasting capacity of these models. We carry out a Monte Carlo experiment …

One of the leading methods of estimating the structural parameters of DSGE models is the VAR-based impulse response … response parameters exceeds the number of VAR model parameters. Situations in which this order condition is violated arise …

loans decrease while C&I loans increase. We also show that in a standard log-linear VAR the impulse response function of an …

-1999. Three popular methods of estimating uncertainty from survey data are analysed in the context of models for forecasting and …