Data revisions and DSGE models

DOI10.1016/J.JECONOM.2016.09.006MaRDI QIDQ341910zbMATH OpenOpenAlexFDO

Authors Ana Beatriz C. Galvão

Publication date 17 November 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL http://wrap.warwick.ac.uk/81777/7/WRAP-Data-revisions-DSGE-models-Galvao-2016.pdf

zbMATH Keywords

forecastingdata revisionsvariance decompositionmedium-sized DSGE models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Dynamic stochastic general equilibrium theory (91B51)

Recommendations

• Modeling data revisions: measurement error and dynamics of ``true values
• Revisions in official data and forecasting
• Estimating point and density forecasts for the US economy with a factor-augmented vector autoregressive DSGE model
• Estimating DSGE models using seasonally adjusted and unadjusted data
• Forecasting data revisions of GDP: a mixed frequency approach

Cites work

• A method for taking models to the data
• Adaptive proposal distribution for random walk Metropolis algorithm
• Bayesian estimation of DSGE models
• Evaluating DSGE model forecasts of comovements
• Methods to estimate dynamic stochastic general equilibrium models
• Modeling data revisions: measurement error and dynamics of ``true values
• Tests of Conditional Predictive Ability
• Time series analysis by state space methods.

Cited in

(5)

• Data revisions and the effects of monetary policy volatility
• A real-time data set for macroeconomists
• Revisions in official data and forecasting
• Data revisions and periodic properties of macroeconomic data
• Modeling data revisions: measurement error and dynamics of ``true values

This page was built for publication: Data revisions and DSGE models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q341910)