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DSGE Model-Based Forecasting of Non-Modelled Variables

Schorfheide, Frank; Sill, Keith; Kryshko, Maxym - 2019

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...

Persistent link: https://www.econbiz.de/10014214672

Evaluating DSGE Model Forecasts of Comovements

Herbst, Edward - 2011

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. The authors construct posterior predictive checks to evaluate the calibration...

Persistent link: https://www.econbiz.de/10013131251

Identifying Long-Run Risks : A Bayesian Mixed-Frequency Approach

Schorfheide, Frank - 2013

consumption and dividend growth and multiple stochastic volatility processes. The estimation is based on annual consumption data … the volatility processes. Our Bayesian estimation provides strong evidence for a small predictable component in … consumption growth (even if asset return data are omitted from the estimation). Three independent volatility processes capture …

Persistent link: https://www.econbiz.de/10013075459

Improving GDP Measurement : A Forecast Combination Perspective

Aruoba, S. Borağan; Diebold, Francis X.; Nalewaik, Jeremy - 2011

Two often - divergent U.S. GDP estimates are available, a widely-used expenditure-side version GDPE, and a much less widely-used income-side version GDI . The authors propose and explore a "forecast combination" approach to combining them. They then put the theory to work, producing a superior...

Persistent link: https://www.econbiz.de/10014177383

Assessing DSGE Model Nonlinearities

Aruoba, S. Borağan - 2013

We develop a new class of nonlinear time-series models to identify nonlinearities in the data and to evaluate nonlinear DSGE models. U.S. output growth and the federal funds rate display nonlinear conditional mean dynamics, while inflation and nominal wage growth feature conditional...

Persistent link: https://www.econbiz.de/10013072302

Sticky Prices versus Monetary Frictions : An Estimation of Policy Trade-Offs

Aruoba, S. Borağan - 2019

The authors develop a two-sector monetary model with a centralized and decentralized market. Activities in the centralized market resemble those in a standard New Keynesian economy with price rigidities. In the decentralized market agents engage in bilateral exchanges for which money is...

Persistent link: https://www.econbiz.de/10012906247

Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities

Cheng, Xu - 2014

In high-dimensional factor models, both the factor loadings and the number of factors may change over time. This paper proposes a shrinkage estimator that detects and disentangles these instabilities. The new method simultaneously and consistently estimates the number of pre- and post-break...

Persistent link: https://www.econbiz.de/10013059796