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 DSGEmodel. I show that the forecasts of a professional forecaster can be incorporated to the statespace representation of the model by allowing the measurement error of the forecast and thestructural shocks to be correlated. The parameters capturing this correlation are reducedform parameters that allow to address two issues i) How the forecasts of the professionalforecaster can be exploited as a source of information for the estimation of the model andii) How to characterize the deviations of the professional forecaster from an ideal completeinformation forecaster in terms of the shocks and the structure of the economy.
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Date of creation: 15 Aug 2011
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Other versions of this item:
- Luis E. Rojas, . "Professional Forecasters: How to Understand and Exploit Them Through a DSGE Model," Borradores de Economia 664, Banco de la Republica de Colombia.
- E2 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment
- E6 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook
- H2 - Public Economics - - Taxation, Subsidies, and Revenue
- H3 - Public Economics - - Fiscal Policies and Behavior of Economic Agents
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-09-16 (All new papers)
- NEP-CBA-2011-09-16 (Central Banking)
- NEP-DGE-2011-09-16 (Dynamic General Equilibrium)
- NEP-ECM-2011-09-16 (Econometrics)
- NEP-FOR-2011-09-16 (Forecasting)
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