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Forecasting with the New-Keynesian Model: An Experiment with Canadian Data

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Author Info
Ali Dib
Kevin Moran

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Abstract

This paper documents the out-of-sample forecasting accuracy of the New Keynesian Model for Canadian data. We repeatedly estimate the model over samples of increasing lengths, forecasting out-of-sample one to four quarters ahead at each step. We then compare these forecasts with those arising from an unrestricted VAR using recent econometric tests. We show that the accuracy of the New Keynesian model's forecasts compares favourably to that of the benchmark. The principle of parsimony is invoked to explain these results

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Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2005 with number 235.

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Date of creation: 11 Nov 2005
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Handle: RePEc:sce:scecf5:235

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Related research
Keywords: out-of-sample forecasting ability; estimated DGSE models;

Find related papers by JEL classification:
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation
E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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