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Forecasting with the New-Keynesian Model: An Experiment with Canadian Data

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  • Ali Dib
  • Kevin Moran

Abstract

This paper documents the out-of-sample forecasting accuracy of the New Keynesian Model for Canadian data. We repeatedly estimate the model over samples of increasing lengths, forecasting out-of-sample one to four quarters ahead at each step. We then compare these forecasts with those arising from an unrestricted VAR using recent econometric tests. We show that the accuracy of the New Keynesian model's forecasts compares favourably to that of the benchmark. The principle of parsimony is invoked to explain these results

Suggested Citation

  • Ali Dib & Kevin Moran, 2005. "Forecasting with the New-Keynesian Model: An Experiment with Canadian Data," Computing in Economics and Finance 2005 235, Society for Computational Economics.
  • Handle: RePEc:sce:scecf5:235
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    Cited by:

    1. Adnan Haider Bukhari & Safdar Ullah Khan, 2008. "A Small Open Economy DSGE Model for Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 47(4), pages 963-1008.

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    More about this item

    Keywords

    out-of-sample forecasting ability; estimated DGSE models;

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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