Estimated DGE Models and Forecasting Accuracy: A Preliminary Investigation with Canadian Data

Kevin Moran and Veronika Dolar

Staff Working Papers from Bank of Canada

Keywords: Business fluctuations and cycles; Economic models (search for similar items in EconPapers)
JEL-codes: E32 E37 (search for similar items in EconPapers)
Pages: 40 pages Abstract: This paper applies the hybrid dynamic g eneral-equilibrium, vector autoregressive (DGE-VAR) model developed by Ireland (1999) to Canadian time series. It presents the first Canadian evidence that a hybrid DGE-VAR model may have better out-of-sample forecasting accuracy than a simple, structure-free VAR model. The evidence suggests that estimated DGE models have the potential to add good forecasting ability to their natural strength of adding structure to an economic model.
Date: 2002
New Economics Papers: this item is included in nep-dge and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:bca:bocawp:02-18

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