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The Chicago Fed DSGE model : version 2
Campbell, Jeffrey R.; Ferroni, Filippo; Fisher, Jonas D. M. - 2023
The Chicago Fed dynamic stochastic general equilibrium (DSGE) model is used for policy analysis and forecasting at the …
Persistent link: https://www.econbiz.de/10014369357
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A multiple DSGE-VAR approach : priors from a combination of DSGE models and evidence from Japan
Iiboshi, Hirokuni - In: Japan and the world economy : international journal of … 40 (2016), pp. 1-8
Persistent link: https://www.econbiz.de/10011700706
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Forecasting global temperatures by exploiting cointegration with radiative forcing
Benati, Luca - 2023
I use Bayesian VARs to forecast global temperatures anomalies until the end of the XXI century by exploiting their cointegration with the Joint Radiative Forcing (JRF) of the drivers of climate change. Under a ‘no change’ scenario, the most favorable median forecast predicts the land...
Persistent link: https://www.econbiz.de/10014303938
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Forecasting with a DSGE model of a small open economy within the Monetary Union
Marcellino, Massimiliano; Rychalovska, Yuliya - In: Journal of forecasting 33 (2014) 5, pp. 315-338
Persistent link: https://www.econbiz.de/10010425650
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Systematic errors in growth expectations over the business cycle
Dovern, Jonas; Jannsen, Nils - 2015
Using real-time data, we analyze how the systematic expectation errors of professional forecasters in 19 advanced economies depend on the state of the business cycle. Our results indicate that the general result that forecasters systematically overestimate output growth (across all countries)...
Persistent link: https://www.econbiz.de/10010486869
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Validating dsge models through dynamic factor models
Forni, Mario; Gambetti, Luca; Lippi, Marco; Sala, Luca - 2022
Persistent link: https://www.econbiz.de/10013260287
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The expectational effects of news in business cycles : evidence from forecast data
Miyamoto, Wataru; Nguyen, Thuy Lan - In: Journal of monetary economics 116 (2020), pp. 184-200
Persistent link: https://www.econbiz.de/10012495170
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How good are out of sample forecasting tests on DSGE models?
Minford, Patrick; Xu, Yongdeng; Zhou, Peng - 2014
Out-of-sample forecasting tests of DSGE models against time-series benchmarks such as an unrestricted VAR are … on a widely-used DSGE model to investigate the power of these tests. We find that in specification testing they have weak … power relative to an in-sample indirect inference test; this implies that a DSGE model may be badly mis-specified and still …
Persistent link: https://www.econbiz.de/10010380944
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How good are out of sample forecasting tests on DSGE models?
Minford, Patrick; Xu, Yongdeng; Zhou, Peng - In: Italian economic journal 1 (2015) 3, pp. 333-351
Persistent link: https://www.econbiz.de/10011544832
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DSGE priors for BVAR models
Filippeli, Thomai; Theodoridis, Konstantinos - 2014
Ravenna (2007) regarding structural VAR (SVAR) models and the normal prior density of the DSGE parameter vector. In line with … methodology of constructing Dynamic Stochastic General Equilibrium (DSGE) consistent prior distributions for Bayesian Vector … Autoregressive (BVAR) models. The moments of the assumed Normal-Inverse Wishart (no conjugate) prior distribution of the VAR …
Persistent link: https://www.econbiz.de/10010339762