EconPapers    
Economics at your fingertips  
 

Forecasting using a Nonlinear DSGE Model

Sergey Ivashchenko and Rangan Gupta ()

No 201659, Working Papers from University of Pretoria, Department of Economics

Abstract: A medium-scale nonlinear dynamic stochastic general equilibrium (DSGE) model was estimated (54 variables, 29 state variables, 7 observed variables). The model includes an observed variable for stock market returns. The root-mean square error (RMSE) of the in-sample and out-of-sample forecasts was calculated. The nonlinear DSGE model with measurement errors outperforms AR (1), VAR (1) and the linearised DSGE in terms of the quality of the out-of-sample forecasts. The nonlinear DSGE model without measurement errors is of a quality equal to that of the linearised DSGE model

Keywords: nonlinear DSGE; Quadratic Kalman Filter; out-of-sample (search for similar items in EconPapers)
JEL-codes: E32 E37 E44 E47 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2016-08
New Economics Papers: this item is included in nep-cse, nep-dge, nep-ets, nep-mac and nep-ore
References: Add references at CitEc
Citations: Track citations by RSS feed

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Forecasting using a Nonlinear DSGE Model (2018) 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:pre:wpaper:201659

Access Statistics for this paper

More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Rangan Gupta ().

 
Page updated 2022-06-25
Handle: RePEc:pre:wpaper:201659