Forecasting with estimated dynamic stochastic general equilibrium models: The role of nonlinearities

Paul Pichler ()
Additional contact information
Paul Pichler: https://econ.univie.ac.at

Vienna Economics Papers from University of Vienna, Department of Economics

Abstract: In this paper we study the effects of nonlinearities on the forecasting performance of a dynamic stochastic general equilibrium model. We compute first- and second-order approximations to a New Keynesian monetary model, and use artificial data to estimate the model's structural parameters based on its linear and quadratic solution. We and that, although our model in not far from being linear, the forecasting performance improves by capturing the second-order terms in the solution. Our findings suggest that accounting for nonlinearities will improve the predictive abilities of DSGE models in many applications.

JEL-codes: C68 E47 E52 (search for similar items in EconPapers)
Date: 2007-03
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://papersecon.univie.ac.at/RePEc/vie/viennp/vie0702.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:vie:viennp:vie0702

Access Statistics for this paper

More papers in Vienna Economics Papers from University of Vienna, Department of Economics
Bibliographic data for series maintained by Paper Administrator ().