Forecast with judgment and models
AbstractThis paper proposes a simple and model-consistent method for combining forecasts generated by structural micro-founded models and judgmental forecasts. The method also enables the judgmental forecasts to be interpreted through the lens of the model. We illustrate the proposed methodology with a real-time forecasting exercise, using a simple neo-Keynesian dynamic stochastic general equilibrium model and prediction from the Survey of Professional Forecasters
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Bibliographic InfoPaper provided by National Bank of Belgium in its series Working Paper Research with number 153.
Length: 44 pages
Date of creation: Dec 2008
Date of revision:
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forecasting; judgment; structural models; Kalman Filter; real time;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-12-21 (All new papers)
- NEP-CBA-2008-12-21 (Central Banking)
- NEP-DGE-2008-12-21 (Dynamic General Equilibrium)
- NEP-ECM-2008-12-21 (Econometrics)
- NEP-ETS-2008-12-21 (Econometric Time Series)
- NEP-FOR-2008-12-21 (Forecasting)
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