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 DSGEmodel. I show that the forecasts of a professional forecaster can be incorporated to the statespace representation of the model by allowing the measurement error of the forecast and thestructural shocks to be correlated. The parameters capturing this correlation are reducedform parameters that allow to address two issues i) How the forecasts of the professionalforecaster can be exploited as a source of information for the estimation of the model andii) How to characterize the deviations of the professional forecaster from an ideal completeinformation forecaster in terms of the shocks and the structure of the economy.
|Date of creation:||15 Aug 2011|
|Date of revision:|
|Contact details of provider:|| |
References listed on IDEAS
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.:
- 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.
- 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.
- 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.
- 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.
- Ottaviani, Marco & Sorensen, Peter Norman, 2006.
"The strategy of professional forecasting,"
Journal of Financial Economics,
Elsevier, vol. 81(2), pages 441-466, August.
- Marco Ottaviani & Peter Norman Sorensen, 2001. "The Strategy of Professional Forecasting," Discussion Papers 01-09, University of Copenhagen. Department of Economics.
- 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.
- Maćkowiak, Bartosz & Wiederholt, Mirko, 2009.
"Optimal sticky prices under rational inattention,"
Working Paper Series
1009, European Central Bank.
- 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.
- 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.
- 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.
- 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.
- Boivin, J. & Giannoni, M., 2007. "DSGE Models in a Data-Rich Environment," Working papers 162, Banque de France.
- Jean Boivin & Marc Giannoni, 2006. "DSGE Models in a Data-Rich Environment," NBER Working Papers 12772, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Gonzalo Fernandez-de-Córdoba & José L. Torres, 2009.
"Forecasting the Spanish economy with an Augmented VAR-DSGE model,"
2009-1, Universidad de Málaga, Department of Economic Theory, Málaga Economic Theory Research Center.
- Gonzalo Fernández-de-Córdoba & José Torres, 2011. "Forecasting the Spanish economy with an augmented VAR–DSGE model," SERIEs, Spanish Economic Association, vol. 2(3), pages 379-399, September.
- Andrade, P. & Le Bihan, H., 2010.
"Inattentive professional forecasters,"
307, Banque de France.
When requesting a correction, please mention this item's handle: RePEc:col:000094:008945. 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.