Professional Forecasters: How to Understand and Exploit Them Through a DSGE Model
This 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.
|Date of creation:|
|Date of revision:|
|Contact details of provider:|| Postal: Cra 7 # 14-78 Piso 7|
Phone: (57-1) 3431111
Fax: (57-1) 2841686
Web page: http://www.banrep.gov.co/es/publicaciones-buscador/23
More information through EDIRC
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.:
- 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.
- Peter N. Ireland, 1999.
"A Method for Taking Models to the Data,"
Boston College Working Papers in Economics
421, Boston College Department of Economics.
- 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," Working Paper 9903, Federal Reserve Bank of Cleveland.
- Mackowiak, Bartosz Adam & Wiederholt, Mirko, 2007.
"Optimal Sticky Prices under Rational Inattention,"
CEPR Discussion Papers
6243, C.E.P.R. Discussion Papers.
- Mirko Wiederholt & Bartosz Mackowiak, 2005. "Optimal Sticky Prices under Rational Inattention," 2005 Meeting Papers 369, Society for Economic Dynamics.
- 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.
- Marco Ottaviani & Peter Norman Sørensen, 2004.
"The Strategy of Professional Forecasting,"
FRU Working Papers
2004/05, University of Copenhagen. Department of Economics. Finance Research Unit.
- Hervé Le Bihan & Philippe Andrade, 2010.
"Inattentive Professional Forecasters,"
2010 Meeting Papers
1144, Society for Economic Dynamics.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
When requesting a correction, please mention this item's handle: RePEc:bdr:borrec:664. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Clorith Angélica Bahos Olivera)
If references are entirely missing, you can add them using this form.