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Structural Models in Real Time

  • Kevin Clinton
  • Marianne Johnson
  • Jaromir Benes
  • Douglas Laxton
  • Troy Matheson

This paper outlines a simple approach for incorporating extraneous predictions into structural models. The method allows the forecaster to combine predictions derived from any source in a way that is consistent with the underlying structure of the model. The method is flexible enough that predictions can be up-weighted or down-weighted on a case-by-case basis. We illustrate the approach using a small quarterly structural and real-time data for the United States.

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Paper provided by International Monetary Fund in its series IMF Working Papers with number 10/56.

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Length: 35
Date of creation: 01 Mar 2010
Date of revision:
Handle: RePEc:imf:imfwpa:10/56
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  1. Roberto S. Mariano & Yasutomo Murasawa, 2003. "A new coincident index of business cycles based on monthly and quarterly series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(4), pages 427-443.
  2. Mestre, Ricardo & McAdam, Peter, 2008. "Is forecasting with large models informative? Assessing the role of judgement in macroeconomic forecasts," Working Paper Series 0950, European Central Bank.
  3. Michel Juillard & Ondrej Kamenik & Michael Kumhof & Douglas Laxton, 2006. "Measures of Potential Output from an Estimated DSGE Model of the United States," Working Papers 2006/11, Czech National Bank, Research Department.
  4. Eric Leeper, 2003. "An "Inflation Reports" Report," NBER Working Papers 10089, National Bureau of Economic Research, Inc.
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