Pooling Forecasts in Linear Rational Expectations Models

Gregor Smith

No 273605, Queen's Economics Department Working Papers from Queen's University - Department of Economics

Abstract: Estimating linear rational expectations models requires replacing the expectations of future, endogenous variables either with forecasts from a fully solved model, or with the instrumented actual values, or with forecast survey data. Extending the methods of Mc- Callum (1976) and Gottfries and Persson (1988), I show how to pool these methods and also use actual, future values of these variables to improve statistical efficiency. The method is illustrated with an application using SPF survey data in the US Phillips curve, where the output gap plays a significant role but lagged inflation plays none.

Keywords: Financial; Economics (search for similar items in EconPapers)
Pages: 1129
Date: 2007-06
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Related works:
Journal Article: Pooling forecasts in linear rational expectations models (2009)
Working Paper: Pooling Forecasts In Linear Rational Expectations Models (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:quedwp:273605

DOI: 10.22004/ag.econ.273605

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