Forecasting with Real Business Cycle Models

Indian Economic Review, 2001, vol. 36, issue 1, pages 189-203

Abstract: Forecasting at business cycle frequencies is traditionally done with statistically estimated econometric models. This paper takes a different approach, using a calibrated dynamic general equilibrium model in line with the real business cycle literature. First attempts by others have not proved very successful, most probably because the structure of the models was too simple. We take a simple real business cycle model, the Kydland-Prescott (1982) model economy sufficiently simplified to accommodate for the availability of state variables in the data, augmented by government expense shocks. The forecasts are then evaluated with the traditional tools of the econometric forecaster. It is found that the model has potential for making good forecasts when compared to estimated models that are equally parsimonious.

JEL-codes: E17 E32 (search for similar items in EconPapers)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Working Paper: Forecasting with Real Business Cycle Models (2001)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Ordering information: This journal article can be ordered from
http://www.ierdse.org/

Access Statistics for this article

Indian Economic Review is edited by Partha Sen and Pami Dua

More articles in Indian Economic Review from Department of Economics, Delhi School of Economics
Address: Delhi 110 007
Contact information at EDIRC.
Series data maintained by Pami Dua ().