This paper investigates the accuracy of point and density forecasts of four dynamic stochastic general equilibrium (DSGE) models for output growth, inflation and the interest rate. The model parameters are estimated and forecasts are derived successively from historical U.S. data vintages...

We propose a simple modification of the time series filter by Hamilton (2018b) that yields reliable and economically meaningful real-time output gap estimates. The original filter relies on 8-quarter ahead forecasts errors of an autoregression. While this approach yields a cyclical component of...