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Forecast with judgment and models

Author

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  • Francesca Monti

    (ECARES, Université Libre de Bruxelles)

Abstract

This paper proposes a simple and model-consistent method for combining forecasts generated by structural micro-founded models and judgmental forecasts. The method also enables the judgmental forecasts to be interpreted through the lens of the model. We illustrate the proposed methodology with a real-time forecasting exercise, using a simple neo-Keynesian dynamic stochastic general equilibrium model and prediction from the Survey of Professional Forecasters

Suggested Citation

  • Francesca Monti, 2008. "Forecast with judgment and models," Working Paper Research 153, National Bank of Belgium.
    • Handle: RePEc:nbb:reswpp:200812-2
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    File URL: https://www.nbb.be/doc/ts/publications/wp/wp153en.pdf
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    References listed on IDEAS

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    Cited by:

    1. Lin, Jilei & Eck, Daniel J., 2021. "Minimizing post-shock forecasting error through aggregation of outside information," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1710-1727.
    2. Schorfheide, Frank & Sill, Keith & Kryshko, Maxym, 2010. "DSGE model-based forecasting of non-modelled variables," International Journal of Forecasting, Elsevier, vol. 26(2), pages 348-373, April.
    3. Shaun de Jager & Michael Johnston & Rudi Steinbach, 2015. "A Revised Quarterly Projection Model for South Africa," Working Papers 6839, South African Reserve Bank.

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    More about this item

    Keywords

    forecasting; judgment; structural models; Kalman Filter; real time;
    All these keywords.

    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
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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