Forecasting Canadian time series with the New Keynesian model

Ali Dib, Mohamed Gammoudi and Kevin Moran

Canadian Journal of Economics/Revue canadienne d'économique, 2008, vol. 41, issue 1, 138-165

Abstract: Abstract. This paper assesses the out‐of‐sample forecasting accuracy of the New Keynesian Model for Canada. We estimate a 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 with those arising from vector autoregression (VAR) models, using econometric tests of forecasting accuracy. We show that the forecasting accuracy of the New Keynesian Model compares favourably with that of the benchmarks, particularly as the forecasting horizon increases. These results suggest that the model could become a useful forecasting tool for Canadian time series. Ce mémoire évalue la précision des prévisions d'un nouveau modèle keynésien pour le Canada à partir d'échantillons. On calibre une variante du modèle sur la base d'une série de sous échantillons récurrents de prévisions de un à huit trimestres d'avance à chaque étape. On compare ces prévisions à celles qui émergent de modèles d'auto régression vectorielle (VAR) en utilisant des tests économétriques de précision de prévision. On montre que la précision des prévisions du nouveau modèle keynésien se compare favorablement à celles des prévisions de référence, particulièrement à proportion que l'horizon temporel s'accroît. Ces résultats suggèrent que le modèle peut devenir un instrument utile de prévision pour les séries chronologiques canadiennes.

Date: 2008
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Citations: View citations in EconPapers (13)

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https://doi.org/10.1111/j.1365-2966.2008.00458.x

Related works:
Journal Article: Forecasting Canadian time series with the New Keynesian model (2008)
Working Paper: Forecasting Canadian Time Series with the New Keynesian Model (2006)
Working Paper: Forecasting Canadian Time Series With the New-Keynesian Model (2006)
Working Paper: Forecasting Canadian Time Series with the New-Keynesian Model (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:wly:canjec:v:41:y:2008:i:1:p:138-165

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