DSGE model-based forecasting of non-modelled variablesFrank Schorfheide, Keith Sill () and Maxym Kryshko International Journal of Forecasting, 2010, vol. 26, issue 2, 348-373 Abstract: This paper develops and illustrates a simple method of generating a DSGE model-based forecast for variables that do not explicitly appear in the model (non-core variables). We use auxiliary regressions that resemble measurement equations in a dynamic factor model to link the non-core variables to the state variables of the DSGE model. Predictions for the non-core variables are obtained by applying their measurement equations to DSGE model-generated forecasts of the state variables. Using a medium-scale New Keynesian DSGE model, we apply our approach to generate and evaluate recursive forecasts for PCE inflation, core PCE inflation, the unemployment rate, and housing starts, along with predictions for the seven variables that have been used to estimate the DSGE model. Keywords: Bayesian; methods; DSGE; models; Econometric; models; Evaluating; forecasts; Macroeconomic; forecasting (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:26:y::i:2:p:348-373 Access Statistics for this article International Journal of Forecasting is currently edited by R. J. Hyndman More articles in International Journal of Forecasting from Elsevier |
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