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Forecasting with DSGE Models
Christoffel, Kai Philipp - 2010
In this paper we review the methodology of forecasting with log-linearised DSGE models using Bayesian methods. We focus … BVAR can outperform the NAWM …
Persistent link: https://www.econbiz.de/10013144596
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On Approximating DSGE Models by Series Expansions
Lombardo, Giovanni - 2010
We show how to use a simple perturbation method to solve non-linear rational expectation models. Drawing from the applied mathematics literature we propose a method consisting of series expansions of the non-linear system around a known solution. The variables are represented in terms of their...
Persistent link: https://www.econbiz.de/10013136525
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Putting the New Keynesian DSGE Model to the Real-Time Forecasting Test
Kolasa, Marcin - 2009
-time forecasts from a richly-specified DSGE model to those from the Survey of Professional Forecasters, Bayesian VARs and VARs using … priors from a DSGE model. We show that the analyzed DSGE model is relatively successful in forecasting the US economy in the … BVARs and DSGE-VARs. Compared to the SPF, the DSGE model generates better output forecasts at longer horizons, but less …
Persistent link: https://www.econbiz.de/10013155104
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Predictive Likelihood Comparisons with DSGE and DSGE-VAR Models
Warne, Anders - 2013
-Wide Model, a small-open-economy DSGE model, to DSGEVARs, and to reduced-form linear Gaussian models …
Persistent link: https://www.econbiz.de/10013083316
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Bayesian Prior Elicitation in DSGE Models : Macro- vs. Micro-Priors
Lombardi, Marco J.; Nicoletti, Giulio - 2021
Bayesian approaches to the estimation of DSGE models are becoming increasingly popular. Prior knowledge is normally …
Persistent link: https://www.econbiz.de/10013316112
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Large Bayesian VARs
Banbura, Marta - 2008
This paper shows that Vector Autoregression with Bayesian shrinkage is an appropriate tool for large dynamic models. We build on the results by De Mol, Giannone, and Reichlin (2008) and show that, when the degree of shrinkage is set in relation to the cross-sectional dimension, the forecasting...
Persistent link: https://www.econbiz.de/10012769281
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Nowcasting with Large Bayesian Vector Autoregressions
Cimadomo, Jacopo - 2020
Vector Autoregressive (BVAR) models up to these challenges. We find that BVARs are able to effectively handle the three Vs …
Persistent link: https://www.econbiz.de/10012825850
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Combining Bayesian VARs with Survey Density Forecasts : Does it Pay Off?
Banbura, Marta; Brenna, Federica; Paredes, Joan; … - 2021
This paper studies how to combine real-time forecasts from a broad range of Bayesian vector autoregression (BVAR …
Persistent link: https://www.econbiz.de/10013229967
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Forecasting Using a Large Number of Predictors : Is Bayesian Regression a Valid Alternative to Principal Components?
De Mol, Christine; Giannone, Domenico; Reichlin, Lucrezia - 2021
This paper considers Bayesian regression with normal and double-exponential priors as forecasting methods based on large panels of time series. We show that, empirically, these forecasts are highly correlated with principal component forecasts and that they perform equally well for a wide range...
Persistent link: https://www.econbiz.de/10013317338
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Exchange Rate Forecasting with DSGE Models
Ca' Zorzi, Michele - 2016
reversion of the real exchange rate over long horizons. Abiding by these principles, an open-economy DSGE model performs well in …
Persistent link: https://www.econbiz.de/10012988876