Professional Forecasters: How to Understand and Exploit Them Through a DSGE Model
AbstractThis 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.
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Bibliographic InfoPaper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 664.
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Mercado laboral; VAR estructural; DSGE; Economía abierta; Política monetaria. Classification JEL:Professional Forecasters; DSGE models.;
Other versions of this item:
- Luis E. Rojas, 2011. "Professional Forecasters: How to Understand and Exploit Them Through a DSGE Model," BORRADORES DE ECONOMIA 008945, BANCO DE LA REPÚBLICA.
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