Forecasting with the New-Keynesian Model: An Experiment with Canadian Data

Ali Dib and Kevin Moran

No 235, Computing in Economics and Finance 2005 from Society for Computational Economics

Abstract: This paper documents the out-of-sample forecasting accuracy of the New Keynesian Model for Canadian data. We repeatedly estimate the model over samples of increasing lengths, forecasting out-of-sample one to four quarters ahead at each step. We then compare these forecasts with those arising from an unrestricted VAR using recent econometric tests. We show that the accuracy of the New Keynesian model's forecasts compares favourably to that of the benchmark. The principle of parsimony is invoked to explain these results

Keywords: out-of-sample forecasting ability; estimated DGSE models (search for similar items in EconPapers)
JEL-codes: E32 E37 E58 (search for similar items in EconPapers)
Date: 2005-11-11
New Economics Papers: this item is included in nep-for and nep-mac
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Citations: View citations in EconPapers (1)

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