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On the forecasting performance of a small-scale DSGE model

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  • Rubaszek, Michal
  • Skrzypczynski, Pawel

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Bibliographic Info

Article provided by Elsevier in its journal International Journal of Forecasting.

Volume (Year): 24 (2008)
Issue (Month): 3 ()
Pages: 498-512

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Handle: RePEc:eee:intfor:v:24:y:2008:i:3:p:498-512

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Web page: http://www.elsevier.com/locate/ijforecast

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References

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  1. Rochelle M. Edge & Michael T. Kiley & Jean-Philippe Laforte, 2010. "A comparison of forecast performance between Federal Reserve staff forecasts, simple reduced-form models, and a DSGE model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 720-754.
  2. Del Negro, Marco & Schorfheide, Frank & Smets, Frank & Wouters, Raf, 2005. "On the fit and forecasting performance of New-Keynesian models," Working Paper Series 0491, European Central Bank.
  3. Dixit, Avinash K & Stiglitz, Joseph E, 1975. "Monopolistic Competition and Optimum Product Diversity," The Warwick Economics Research Paper Series (TWERPS) 64, University of Warwick, Department of Economics.
  4. Frank Smets & Raf Wouters, 2004. "Forecasting with a Bayesian DSGE Model: an application to the euro area," Working Paper Research 60, National Bank of Belgium.
  5. Tom Stark & Dean Croushore, 2001. "Forecasting with a real-time data set for macroeconomists," Working Papers 01-10, Federal Reserve Bank of Philadelphia.
  6. Athanasios Orphanides & John C. Williams, 2002. "Robust Monetary Policy Rules with Unknown Natural Rates," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 33(2), pages 63-146.
  7. Diebold, Francis X & Mariano, Roberto S, 1995. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 253-63, July.
  8. Kenneth D. West & Whitney K. Newey, 1995. "Automatic Lag Selection in Covariance Matrix Estimation," NBER Technical Working Papers 0144, National Bureau of Economic Research, Inc.
  9. Lawrence J. Christiano & Martin Eichenbaum & Charles Evans, 2001. "Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy," NBER Working Papers 8403, National Bureau of Economic Research, Inc.
  10. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
  11. Calvo, Guillermo A., 1983. "Staggered prices in a utility-maximizing framework," Journal of Monetary Economics, Elsevier, vol. 12(3), pages 383-398, September.
  12. Taylor, John B., 1993. "Discretion versus policy rules in practice," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 39(1), pages 195-214, December.
  13. Oleg Korenok & Norman R. Swanson, 2005. "The Incremental Predictive Information Associated with Using Theoretical New Keynesian DSGE Models vs. Simple Linear Econometric Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(s1), pages 905-930, December.
  14. Croushore Dean, 2010. "An Evaluation of Inflation Forecasts from Surveys Using Real-Time Data," The B.E. Journal of Macroeconomics, De Gruyter, vol. 10(1), pages 1-32, May.
  15. Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-08, May.
  16. Peter N. Ireland, 2004. "Technology Shocks in the New Keynesian Model," NBER Working Papers 10309, National Bureau of Economic Research, Inc.
  17. Dean Croushore & Tom Stark, 1999. "A real-time data set for macroeconomists," Working Papers 99-4, Federal Reserve Bank of Philadelphia.
  18. Harvey, David & Leybourne, Stephen & Newbold, Paul, 1997. "Testing the equality of prediction mean squared errors," International Journal of Forecasting, Elsevier, vol. 13(2), pages 281-291, June.
  19. Frank Smets & Raf Wouters, 2003. "An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area," Journal of the European Economic Association, MIT Press, vol. 1(5), pages 1123-1175, 09.
  20. Malin Adolfson & Jesper Linde & Mattias Villani, 2007. "Forecasting Performance of an Open Economy DSGE Model," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 289-328.
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Citations

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Cited by:
  1. Alessia Paccagnini, 2012. "Comparing Hybrid DSGE Models," Working Papers 228, University of Milano-Bicocca, Department of Economics, revised Dec 2012.
  2. Kocięcki, Andrzej & Kolasa, Marcin & Rubaszek, Michał, 2012. "A Bayesian method of combining judgmental and model-based density forecasts," Economic Modelling, Elsevier, vol. 29(4), pages 1349-1355.
  3. Kolasa, Marcin & Rubaszek, Michał & Skrzypczyński, Paweł, 2009. "Putting the New Keynesian DSGE model to the real-time forecasting test," Working Paper Series 1110, European Central Bank.
  4. Nyberg, Henri & Saikkonen, Pentti, 2014. "Forecasting with a noncausal VAR model," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 536-555.
  5. Andrzej Kociecki & Marcin Kolasa & Michal Rubaszek, 2011. "Predictivistic Bayesian Forecasting System," National Bank of Poland Working Papers 87, National Bank of Poland, Economic Institute.
  6. João Valle e Azevedo & João Tovar Jalles, 2011. "Rational vs. Professional Forecasts," Working Papers w201114, Banco de Portugal, Economics and Research Department.
  7. Marco Del Negro & Frank Schorfheide, 2012. "DSGE model-based forecasting," Staff Reports 554, Federal Reserve Bank of New York.
  8. Falch, Nina Skrove & Nymoen, Ragnar, 2011. "The accuracy of a forecast targeting central bank," Economics Discussion Papers 2011-6, Kiel Institute for the World Economy.
  9. Ivashchenko, S., 2013. "Dynamic Stochastic General Equilibrium Model with Banks and Endogenous Defaults of Firms," Journal of the New Economic Association, New Economic Association, vol. 19(3), pages 27-50.
  10. Tobias Kitlinski & Torsten Schmidt, 2011. "The Forecasting Performance of an Estimated Medium Run Model," Ruhr Economic Papers 0301, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
  11. Periklis Gogas & Theophilos Papadimitriou & Elvira Takli, 2013. "Comparison of simple sum and Divisia monetary aggregates in GDP forecasting: a support vector machines approach," Economics Bulletin, AccessEcon, vol. 33(2), pages 1101-1115.
  12. Gonzalo Fernández-de-Córdoba & José Torres, 2011. "Forecasting the Spanish economy with an augmented VAR–DSGE model," SERIEs, Spanish Economic Association, vol. 2(3), pages 379-399, September.
  13. Österholm, Pär, 2012. "The limited usefulness of macroeconomic Bayesian VARs when estimating the probability of a US recession," Journal of Macroeconomics, Elsevier, vol. 34(1), pages 76-86.
  14. Stelios Bekiros & Alessia Paccagnini, 2013. "On the predictability of time-varying VAR and DSGE models," Empirical Economics, Springer, vol. 45(1), pages 635-664, August.
  15. Christoffel, Kai & Warne, Anders & Coenen, Günter, 2010. "Forecasting with DSGE models," Working Paper Series 1185, European Central Bank.

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