Forecasting Canadian Time Series With the New-Keynesian Model

Ali Dib (), Mohamed Gammoudi and Kevin Moran ()

Working Papers Central Bank of Chile from Central Bank of Chile

Abstract: This paper documents the out-of-sample forecasting accuracy of the New Keynesian Model for Canada. We estimate our variant of the model on a series of rolling subsamples, computing out-of-sample forecasts one to eight quarters ahead at each step. We compare these forecasts to those arising from simple vector autoregression (VAR) models, using econometric tests for forecasting accuracy. Our results show that the forecasting accuracy of the New Keynesian model compares favorably to that of the benchmarks, particularly as the forecasting horizon is increased. These results suggest that the model could become a useful forecasting tool for Canadian time series.

Date: 2006-12
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Related works:
Working Paper: Forecasting Canadian Time Series with the New-Keynesian Model (2005)
Working Paper: Forecasting Canadian Time Series with the New Keynesian Model (2006)
Journal Article: Forecasting Canadian time series with the New Keynesian model (2008)
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Persistent link: http://EconPapers.repec.org/RePEc:chb:bcchwp:382

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