DSGE model-based forecasting of non-modelled variables

Maxym Kryshko, Frank Schorfheide () and Keith Sill
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Frank Schorfheide: https://economics.sas.upenn.edu/people/frank-schorfheide

No 08-17, Working Papers from Federal Reserve Bank of Philadelphia

Abstract: This paper develops and illustrates a simple method to generate a DSGE model-based forecast for variables that do not explicitly appear in the model (non-core variables). The authors use auxiliary regressions that resemble measurement equations in a dynamic factor model to link the non-core variables to the state variables of the DSGE model. Predictions for the non-core variables are obtained by applying their measurement equations to DSGE model- generated forecasts of the state variables. Using a medium-scale New Keynesian DSGE model, the authors apply their approach to generate and evaluate recursive forecasts for PCE inflation, core PCE inflation, and the unemployment rate along with predictions for the seven variables that have been used to estimate the DSGE model.

Keywords: Forecasting (search for similar items in EconPapers)
Date: 2008
New Economics Papers: this item is included in nep-cba, nep-dge, nep-ecm, nep-ets, nep-for and nep-mac
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Citations: View citations in EconPapers (2)

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Related works:
Journal Article: DSGE model-based forecasting of non-modelled variables (2010)
Working Paper: DSGE Model-Based Forecasting of Non-modelled Variables (2009)
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