Information Content of DSGE Forecasts

Ray C. Fair ()
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Ray C. Fair: Cowles Foundation, Yale University, https://economics.yale.edu/people/faculty/ray-fair

No 2140, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: This paper examines the question whether information is contained in forecasts from DSGE models beyond that contained in lagged values, which are extensively used in the models. Four sets of forecasts are examined. The results are encouraging for DSGE forecasts of real GDP. The results suggest that there is information in the DSGE forecasts not contained in forecasts based only on lagged values and that there is no information in the lagged-value forecasts not contained in the DSGE forecasts. The opposite is true for forecasts of the GDP deflator.

Keywords: DSGE forecasts; Lagged values (search for similar items in EconPapers)
JEL-codes: C53 E10 E17 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2018-08
New Economics Papers: this item is included in nep-dge, nep-for and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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