Forecast with judgment and models

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Forecast with judgment and models

Author Info

Francesca Monti () (ECARES, Université Libre de Bruxelles)

Abstract

This 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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Paper provided by National Bank of Belgium in its series Research series with number 200812-2.

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Length: 44 pages
Date of creation: Dec 2008
Date of revision:
Handle: RePEc:nbb:reswpp:200812-2

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Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications

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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