IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

Forecasting In a Non-Linear DSGE Model

  • Sergey Ivashchenko

A medium-scale nonlinear dynamic stochastic general equilibrium (DSGE) model is estimated (54 variables, 29 state variables, 7 observed variables). The model includes a observed variable for stock market returns. The root-mean square error (RMSE) of the in-sample and out-of-sample forecasts is calculated. The nonlinear DSGE model with measurement errors outperforms AR (1), VAR (1) and the linearized DSGE in terms of the quality of the out-of-sample forecasts. The nonlinear DSGE model without measurement errors is actually of a quality equal to that of the linearized DSGE model.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://eu.spb.ru/images/ec_dep/wp/Ec-02_14.pdf
Download Restriction: no

Paper provided by European University at St. Petersburg, Department of Economics in its series EUSP Deparment of Economics Working Paper Series with number Ec-02/14.

as
in new window

Length: 23 pages
Date of creation: 17 May 2014
Date of revision:
Handle: RePEc:eus:wpaper:ec0214
Contact details of provider: Postal: 3 Gagarinskaya Street, 191187 St. Petersburg
Phone: +7 (812) 275-1130
Web page: http://www.eu.spb.ru/econ/
Email:


More information through EDIRC

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.:

as in new window
  1. Collard, Fabrice & Juillard, Michel, 2001. "Accuracy of stochastic perturbation methods: The case of asset pricing models," Journal of Economic Dynamics and Control, Elsevier, vol. 25(6-7), pages 979-999, June.
  2. Smets, Frank & Wouters, Rafael, 2004. "Forecasting with a Bayesian DSGE Model: An Application to the Euro Area," CEPR Discussion Papers 4749, C.E.P.R. Discussion Papers.
  3. Mehmet Balcilar & Rangan Gupta & Kevin Kotze, 2013. "Forecasting South African Macroeconomic Data with a Nonlinear DSGE Model," Working Papers 201313, University of Pretoria, Department of Economics.
  4. Christopher Gust & David Lopez-Salido & Matthew E. Smith, 2012. "The empirical implications of the interest-rate lower bound," Finance and Economics Discussion Series 2012-83, Board of Governors of the Federal Reserve System (U.S.).
  5. Michael Wickens, 2008. "The Centralized Economy, from Macroeconomic Theory: A Dynamic General Equilibrium Approach
    [Macroeconomic Theory: A Dynamic General Equilibrium Approach]
    ," Introductory Chapters, Princeton University Press.
  6. Tovar, Camilo Ernesto, 2008. "DSGE Models and Central Banks," Economics Discussion Papers 2008-30, Kiel Institute for the World Economy.
  7. Pichler Paul, 2008. "Forecasting with DSGE Models: The Role of Nonlinearities," The B.E. Journal of Macroeconomics, De Gruyter, vol. 8(1), pages 1-35, July.
  8. Jesús Fernández-Villaverde & Pablo A. Guerrón-Quintana & Juan Rubio-Ramírez, 2010. "Reading the Recent Monetary History of the U.S., 1959-2007," NBER Working Papers 15929, National Bureau of Economic Research, Inc.
  9. Jesús Fernández-Villaverde & Pablo Guerrón-Quintana & Juan F. Rubio-Ramírez, 2010. "Reading the recent monetary history of the United States, 1959-2007," Review, Federal Reserve Bank of St. Louis, issue May, pages 311-338.
  10. Gianni Amisano & Oreste Tristani, 2007. "Euro area inflation persistence in an estimated nonlinear DSGE model," Working Papers 0704, University of Brescia, Department of Economics.
  11. Martin Møller Andreasen, 2008. "Non-linear DSGE Models, The Central Difference Kalman Filter, and The Mean Shifted Particle Filter," CREATES Research Papers 2008-33, School of Economics and Management, University of Aarhus.
  12. Sergei Ivashchenko, 2013. "Dynamic stochastic general equilibrium model with banks and endogenous defaults of firms," EUSP Deparment of Economics Working Paper Series Ec-02/13, European University at St. Petersburg, Department of Economics.
  13. Robert Kollmann, 2013. "Tractable Latent State Filtering for Non-Linear DSGE Models Using a Second-Order Approximation," Working Papers ECARES ECARES 2013-24, ULB -- Universite Libre de Bruxelles.
  14. Sergey Ivashchenko, 2014. "DSGE Model Estimation on the Basis of Second-Order Approximation," Computational Economics, Society for Computational Economics, vol. 43(1), pages 71-82, January.
  15. Schmitt-Grohe, Stephanie & Uribe, Martin, 2004. "Solving dynamic general equilibrium models using a second-order approximation to the policy function," Journal of Economic Dynamics and Control, Elsevier, vol. 28(4), pages 755-775, January.
  16. Ruge-Murcia, Francisco, 2012. "Estimating nonlinear DSGE models by the simulated method of moments: With an application to business cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 36(6), pages 914-938.
  17. Malin Adolfson & Jesper Linde & Mattias Villani, 2007. "Forecasting Performance of an Open Economy DSGE Model," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 289-328.
  18. Taeyoung Doh, 2009. "Yield curve in an estimated nonlinear macro model," Research Working Paper RWP 09-04, Federal Reserve Bank of Kansas City.
  19. Rubaszek, Michal & Skrzypczynski, Pawel, 2008. "On the forecasting performance of a small-scale DSGE model," International Journal of Forecasting, Elsevier, vol. 24(3), pages 498-512.
  20. Marco Del Negro & Frank Schorfheide, 2012. "DSGE model-based forecasting," Staff Reports 554, Federal Reserve Bank of New York.
  21. Hall, Jamie, 2012. "Consumption dynamics in general equilibrium," MPRA Paper 43933, University Library of Munich, Germany.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:eus:wpaper:ec0214. 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: (Yuriy Balagula)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.