Comparing DSGE-VAR forecasting models: How big are the differences?

Andra Ghent

Journal of Economic Dynamics and Control, 2009, vol. 33, issue 4, 864-882

Abstract: I generate priors for a vector autoregression (VAR) from a standard real business cycle (RBC) model, an RBC model with capital-adjustment costs and habit formation, and a sticky-price model with an unaccommodating monetary authority. The response of hours worked to a TFP shock differs sharply across these models. I compare the accuracy of forecasts made from each of the resulting dynamic stochastic general equilibrium vector autoregression (DSGE-VAR) models. Despite having different structural characteristics, the DSGE-VARs are comparable in terms of forecasting performance. As in previous work, DSGE-VARs compare favorably with atheoretical VARs.

Keywords: Model; evaluation; Priors; from; DSGE; models; Economic; fluctuations; Hours; debate; Business; cycles (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (18)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:dyncon:v:33:y:2009:i:4:p:864-882

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