On the predictability of time-varying VAR and DSGE models
نویسندگان
چکیده
منابع مشابه
On the predictability of time-varying VAR and DSGE models
Over the last few years, there has been a growing interest in DSGE modelling for predicting macroeconomic uctuations and conducting quantitative policy analysis. Hybrid DSGE models have become popular for dealing with some of the DSGE misspeci cations as they are able to solve the tradeo¤ between theoretical coherence and empirical t. However, these models are still linear and they do not con...
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This chapter reviews the literature on the econometric relationship between DSGE and VAR models from the point of view of estimation and model validation. The mapping between DSGE and VAR models is broken down into three stages: 1) from DSGE to statespace model; 2) from state-space model to VAR(1); 3) from VAR(1) to nite order VAR. The focus is on discussing what can go wrong at each step of th...
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In this paper we treat the issue of forecasting with DSGE and DSGE-VAR models, with particular attention to Bayesian estimation of the predictive distribution and its mean and covariance. As a novel contribution to the forecasting literature, which extends beyond (log-linearized) DSGE models and DSGE-VARs, we show how the value of the h-step-ahead marginal and joint predictive likelihood for a ...
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Marginalized Predictive Likelihood Comparisons of Linear Gaussian State-Space Models with Applications to DSGE, DSGE-VAR, and VAR Models
The predictive likelihood is useful for ranking models in forecast comparison exercises using Bayesian inference. We discuss how it can be estimated, by means of marginalization, for any subset of the observables in linear Gaussian state-space models. We compare macroeconomic density forecasts for the euro area of a DSGE model to those of a DSGE-VAR, a BVAR, and a multivariate random walk over ...
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ژورنال
عنوان ژورنال: Empirical Economics
سال: 2012
ISSN: 0377-7332,1435-8921
DOI: 10.1007/s00181-012-0623-z