Pooling Forecasts In Linear Rational Expectations Models

Gregor W. Smith ()

No 1129, Working Paper from Economics Department, Queen's University

Abstract: Estimating linear rational expectations models requires replacingthe expectations of future, endogenous variables either withforecasts from a fully solved model, or with the instrumentedactual values, or with forecast survey data. Extending the methodsof McCallum (1976) and Gottfries and Persson (1988), I show how topool these methods and also use actual, future values of thesevariables to improve statistical efficiency. The method isillustrated with an application using SPF survey data in the USPhillips curve, where the output gap plays a significant role butlagged inflation plays none.

Keywords: rational expectations; recursive projection; Phillips curve (search for similar items in EconPapers)
JEL-codes: C53 E37 (search for similar items in EconPapers)
Pages: 22 pages
Date: 2007-06
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-for and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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https://www.econ.queensu.ca/sites/econ.queensu.ca/files/qed_wp_1129.pdf First version 2007 (application/pdf)

Related works:
Journal Article: Pooling forecasts in linear rational expectations models (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:qed:wpaper:1129

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