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Evaluating DSGE Model Forecasts of Comovements
Schorfheide, Frank - 2012
This paper develops and applies tools to assess multivariate aspects of Bayesian Dynamic Stochastic General Equilibrium (DSGE) model forecasts and their ability to predict comovements among key macroeconomic variables. We construct posterior predictive checks to evaluate conditional and...
Persistent link: https://www.econbiz.de/10013106990
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Online Estimation of DSGE Models
Cai, Michael D.; Del Negro, Marco; Herbst, Edward; … - 2020
fgeneralized data tempering for “online” estimation (that is, re-estimating a model asnew data become available), and provide … examples of multimodal posteriors that are well captured by SMC methods. We then use the online estimation of the DSGE model to …
Persistent link: https://www.econbiz.de/10014097669
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Evaluating DSGE Model Forecasts of Comovements
Herbst, Edward; Schorfheide, Frank - 2017
This paper develops and applies tools to assess multivariate aspects of Bayesian Dynamic Stochastic General Equilibrium (DSGE) model forecasts and their ability to predict comovements among key macroeconomic variables. We construct posterior predictive checks to evaluate conditional and...
Persistent link: https://www.econbiz.de/10014121109