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Forecasting the US Economy with a Factor-Augmented Vector Autoregressive DSGE model

Author

Listed:
  • Stelios Bekiros
  • Alessia Paccagnini

Abstract

Although policymakers and practitioners are particularly interested in DSGE models, these are typically too stylized to be applied directly to the data and often yield weak prediction re- sults. Very recently, hybrid DSGE model

Suggested Citation

  • Stelios Bekiros & Alessia Paccagnini, 2014. "Forecasting the US Economy with a Factor-Augmented Vector Autoregressive DSGE model," Working Papers 2014-183, Department of Research, Ipag Business School.
    • Handle: RePEc:ipg:wpaper:2014-183
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    File URL: https://faculty-research.ipag.edu/wp-content/uploads/recherche/WP/IPAG_WP_2014_183.pdf
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    References listed on IDEAS

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    Keywords

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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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