A new approach to multi-step forecasting using dynamic stochastic general equilibrium models

George Kapetanious (), Simon Price and Konstantinos Theodoridis
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George Kapetanious: Bank of England, Postal: Publications Group Bank of England Threadneedle Street London EC2R 8AH

No 567, Bank of England working papers from Bank of England

Abstract: DSGE models are of interest because they offer structural interpretations, but are also increasingly used for forecasting. Estimation often proceeds by methods which involve building the likelihood by one-step ahead (h=1) prediction errors. However in principle this can be done using different horizons where h>1. Using the well-known model of Smets and Wouters (2007), for h=1 classical ML parameter estimates are similar to those originally reported. As h extends some estimated parameters change, but not to an economically significant degree. Forecast performance is often improved, in several cases significantly.

Keywords: DSGE models; multi-step prediction errors; forecasting. (search for similar items in EconPapers)
Pages: 15 pages
Date: 2015-11-20
New Economics Papers: this item is included in nep-dge, nep-ecm, nep-ets, nep-for and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Journal Article: A new approach to multi-step forecasting using dynamic stochastic general equilibrium models (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:boe:boeewp:0567

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