EconPapers    
Economics at your fingertips  
 

How Frequently Should We Reestimate DSGE Models?

Marcin Kolasa and Michał Rubaszek

International Journal of Central Banking, 2015, vol. 11, issue 4, 279-305

Abstract: A common practice in policymaking institutions using DSGE models for forecasting is to reestimate them only occasionally rather than every forecasting round. In this paper we ask how such a practice affects the accuracy of DSGE modelbased forecasts. To this end we use a canonical medium-sized New Keynesian model and compare how its quarterly real-time forecasts for the U.S. economy vary with the interval between consecutive reestimations. We find that updating the model parameters only once a year usually does not lead to any significant deterioration in the accuracy of point forecasts. On the other hand, there are some gains from increasing the frequency of reestimation if one is interested in the quality of density forecasts.

JEL-codes: C53 E37 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
http://www.ijcb.org/journal/ijcb15q5a8.pdf (application/pdf)
http://www.ijcb.org/journal/ijcb15q5a8.htm (text/html)

Related works:
Working Paper: How frequently should we re-estimate DSGE models? (2014) Downloads
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:ijc:ijcjou:y:2015:q:5:a:8

Access Statistics for this article

International Journal of Central Banking is currently edited by Loretta J. Mester

More articles in International Journal of Central Banking from International Journal of Central Banking
Bibliographic data for series maintained by Bank for International Settlements ().

 
Page updated 2025-03-22
Handle: RePEc:ijc:ijcjou:y:2015:q:5:a:8