Real-time forecast evaluation of DSGE models with stochastic volatility
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Publication:1676378
DOI10.1016/j.jeconom.2017.08.011zbMath1377.62210OpenAlexW3123137325MaRDI QIDQ1676378
Francis X. Diebold, Frank Schorfheide, Minchul Shin
Publication date: 7 November 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.nber.org/papers/w22615.pdf
Applications of statistics to economics (62P20) Dynamic stochastic general equilibrium theory (91B51)
Related Items (8)
Assessing DSGE model nonlinearities ⋮ Precision-based sampling for state space models that have no measurement error ⋮ What cycles? Data detrending in DSGE models ⋮ Constrained interest rates and changing dynamics at the zero lower bound ⋮ Using time-varying volatility for identification in vector autoregressions: an application to endogenous uncertainty ⋮ Editors' introduction ⋮ DSGE models with observation-driven time-varying volatility ⋮ Quasi‐Bayesian Estimation of Time‐Varying Volatility in DSGE Models
Uses Software
Cites Work
- Evaluating DSGE model forecasts of comovements
- Combining VAR and DSGE forecast densities
- Solving linear rational expectations models
- Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility
- The Impact of Uncertainty Shocks
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- Time Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum
- Estimating Macroeconomic Models: A Likelihood Approach
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