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A joint econometric model of macroeconomic and term-structure dynamics

Hördahl, Peter; Tristani, Oreste; Vestin, David - In: Journal of econometrics 131 (2006) 1/2, pp. 405-444

Persistent link: https://www.econbiz.de/10003298603

Tailored randomized block MCMC methods with application to DSGE models

Chib, Siddhartha; Ramamurthy, Srikanth - In: Journal of econometrics 155 (2010) 1, pp. 19-38

Persistent link: https://www.econbiz.de/10003965375

Evaluating DSGE model forecasts of comovements

Herbst, Edward P.; Schorfheide, Frank - In: Journal of econometrics 171 (2012) 2, pp. 152-166

Persistent link: https://www.econbiz.de/10009691168

Real-time forecast evaluation of DSGE models with stochastic volatility

Diebold, Francis X.; Schorfheide, Frank; Shin, Minchul - In: Journal of econometrics 201 (2017) 2, pp. 322-332

Persistent link: https://www.econbiz.de/10011920505

DSGE Model-Based Forecasting of Non-Modelled Variables

Schorfheide, Frank - 2010

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/10012757579