Forecasting Canadian Time Series with the New-Keynesian Model

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

Cahiers de recherche from CIRPEE

Abstract: This paper documents the out-of-sample forecasting accuracy of the New Keynesian Model for Canada. We repeatedly estimate our variant of the model on a series of rolling subsamples, forecasting out-of-sample one to eight quarters ahead at each step. We then compare these forecasts to those arising from simple VARs, using econometric tests of forecasting accuracy. Our results show that the forecasting accuracy of the New Keynesian model compares favourably to that of the benchmarks, particularly as the forecasting horizon increases. These results suggest that the model can become a useful forecasting tool for Canadian time series. The principle of parsimony is invoked to explain our findings.

Keywords: New Keynesian Model; Forecasting accuracy (search for similar items in EconPapers)
JEL-codes: C53 E37 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-for and nep-mac
Date: 2005
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http://www.cirpee.org/fileadmin/documents/Cahiers_2005/CIRPEE05-27.pdf (application/pdf)

Related works:
Working Paper: Forecasting Canadian Time Series with the New Keynesian Model (2006)
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:lvl:lacicr:0527

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