Economic forecasting with multiequation simulation models

Calvin Price
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Calvin Price: MUFG Bank

2020 Stata Conference from Stata Users Group

Abstract: Capturing interdependencies among many variables is a crucial part of economic forecasting. We show how multiple estimated equations can be solved simultaneously with the Stata forecast command and how to simulate the system through time to produce forecasts. This can be combined with user-defined exogenous variables, so that different assumptions can be used to create forecasts under different scenarios. Techniques for assessing the quality of both ex post and ex ante forecasts are shown, along with a simple example model of the U.S. economy.

Date: 2020-08-20
New Economics Papers: this item is included in nep-cmp and nep-for
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Persistent link: https://EconPapers.repec.org/RePEc:boc:scon20:5

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