Professional Forecasters: How to Understand and Exploit Them Through a DSGE Model

Luis Rojas

Borradores de Economia from Banco de la Republica de Colombia

Abstract: This paper derives a link between the forecasts of professional forecasters and a DSGE model. I show that the forecasts of a professional forecaster can be incorporated to the state space representation of the model by allowing the measurement error of the forecast and the structural shocks to be correlated. The parameters capturing this correlation are reduced form parameters that allow to address two issues i) How the forecasts of the professional forecaster can be exploited as a source of information for the estimation of the model and ii) How to characterize the deviations of the professional forecaster from an ideal complete information forecaster in terms of the shocks and the structure of the economy.

Keywords: Professional Forecasters; DSGE models. (search for similar items in EconPapers)
JEL-codes: C18 C51 C82 E17 (search for similar items in EconPapers)
Date: 2011-08
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.32468/be.664 (application/pdf)

Related works:
Working Paper: Professional Forecasters: How to Understand and Exploit Them Through a DSGE Model (2011)
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:bdr:borrec:664

Access Statistics for this paper

More papers in Borradores de Economia from Banco de la Republica de Colombia Cra 7 # 14-78. Contact information at EDIRC.
Bibliographic data for series maintained by Clorith Angélica Bahos Olivera ().