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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 008945.
Date of creation: 15 Aug 2011
Date of revision:
Contact details of provider:
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.
- 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)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Mackowiak, Bartosz Adam & Wiederholt, Mirko, 2007.
"Optimal Sticky Prices under Rational Inattention,"
CEPR Discussion Papers
6243, C.E.P.R. Discussion Papers.
- Maćkowiak, Bartosz & Wiederholt, Mirko, 2009. "Optimal sticky prices under rational inattention," Working Paper Series 1009, European Central Bank.
- Bartosz Mackowiak & Mirko Wiederholt, 2004. "Optimal Sticky Prices under Rational Inattention," SFB 649 Discussion Papers SFB649DP2005-040, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany, revised Jul 2005.
- Mirko Wiederholt & Bartosz Mackowiak, 2005. "Optimal Sticky Prices under Rational Inattention," 2005 Meeting Papers 369, Society for Economic Dynamics.
- Marco Ottaviani & Peter Norman Sorensen, 2001.
"The Strategy of Professional Forecasting,"
01-09, University of Copenhagen. Department of Economics.
- Andrade, Philippe & Le Bihan, Hervé, 2013.
"Inattentive professional forecasters,"
Journal of Monetary Economics,
Elsevier, vol. 60(8), pages 967-982.
- Koopman, Siem Jan & Harvey, Andrew, 2003.
"Computing observation weights for signal extraction and filtering,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 27(7), pages 1317-1333, May.
- A. C. Harvey & Siem Jan Koopman, 2000. "Computing Observation Weights for Signal Extraction and Filtering," Econometric Society World Congress 2000 Contributed Papers 0888, Econometric Society.
- Jean Boivin & Marc Giannoni, 2006.
"DSGE Models in a Data-Rich Environment,"
NBER Working Papers
12772, National Bureau of Economic Research, Inc.
- Boivin, J. & Giannoni, M., 2007. "DSGE Models in a Data-Rich Environment," Working papers 162, Banque de France.
- Marc P. Giannoni & Jean Boivin, 2005. "DSGE Models in a Data-Rich Environment," Computing in Economics and Finance 2005 431, Society for Computational Economics.
- Jean Boivin & Marc Giannoni, 2006. "DSGE Models in a Data-Rich Environment," NBER Technical Working Papers 0332, National Bureau of Economic Research, Inc.
- Sargent, Thomas J, 1989. "Two Models of Measurements and the Investment Accelerator," Journal of Political Economy, University of Chicago Press, vol. 97(2), pages 251-87, April.
- Peter N. Ireland, 1999.
"A method for taking models to the data,"
9903, Federal Reserve Bank of Cleveland.
- Peter Ireland, 1999. "A Method for Taking Models to the Data," Computing in Economics and Finance 1999 1233, Society for Computational Economics.
- Peter Ireland, 1999. "Matlab code for A Method for Taking Models to the Data," QM&RBC Codes 46, Quantitative Macroeconomics & Real Business Cycles.
- Peter N. Ireland, 1999. "A Method for Taking Models to the Data," Boston College Working Papers in Economics 421, Boston College Department of Economics.
- Andrés González Gómez & Lavan Mahadeva & Diego Rodríguez & Luis Eduardo Rojas, 2009.
"Monetary Policy Forecasting In A Dsge Model With Data That Is Uncertain, Unbalanced And About The Future,"
BORRADORES DE ECONOMIA
005480, BANCO DE LA REPÚBLICA.
- Andrés González Gómez & Lavan Mahadeva & Diego Rodríguez & Luis Eduardo Rojas, . "Monetary Policy Forecasting in a DSGE Model with Data that is Uncertain, Unbalanced and About the Future," Borradores de Economia 559, Banco de la Republica de Colombia.
- Carlos Bowles & Roberta Friz & Veronique Genre & Geoff Kenny & Aidan Meyler & Tuomas Rautanen, 2007. "The ECB survey of professional forecasters (SPF) – A review after eight years’ experience," Occasional Paper Series 59, European Central Bank.
- Gonzalo Fernández-de-Córdoba & José Torres, 2011.
"Forecasting the Spanish economy with an augmented VAR–DSGE model,"
Spanish Economic Association, vol. 2(3), pages 379-399, September.
- Gonzalo Fernandez-de-Córdoba & José L. Torres, 2009. "Forecasting the Spanish economy with an Augmented VAR-DSGE model," Working Papers 2009-1, Universidad de Málaga, Department of Economic Theory, Málaga Economic Theory Research Center.
- Genre, Véronique & Kenny, Geoff & Meyler, Aidan & Timmermann, Allan, 2010. "Combining the forecasts in the ECB survey of professional forecasters: can anything beat the simple average?," Working Paper Series 1277, European Central Bank.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Norma Judith Paternina).
If references are entirely missing, you can add them using this form.