Schorfheide, Frank; Sill, Keith; Kryshko, Maxym - National Bureau of Economic Research (NBER) - 2009
This paper develops and illustrates a simple method to generate a DSGE model-based forecast for variables that do not explicitly appear in the model (non-core variables). We use auxiliary regressions that resemble measurement equations in a dynamic factor model to link the non-core variables to...