Evaluating DSGE model forecasts of comovements
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Publication:528090
DOI10.1016/J.JECONOM.2012.06.008zbMATH Open1443.62459OpenAlexW1608486416MaRDI QIDQ528090FDOQ528090
Authors: Edward Herbst, Frank Schorfheide 
Publication date: 12 May 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.federalreserve.gov/pubs/feds/2012/201211/201211pap.pdf
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Bayesian inference (62F15) Applications of statistics to economics (62P20) Dynamic stochastic general equilibrium theory (91B51)
Cites Work
- Probabilistic Forecasts, Calibration and Sharpness
- The Well-Calibrated Bayesian
- Remarks on a Multivariate Transformation
- Present Position and Potential Developments: Some Personal Views: Statistical Theory: The Prequential Approach
- Forecasting Performance of an Open Economy DSGE Model
- Handbook of economic forecasting. Volume 1
- An introduction to modern Bayesian econometrics.
- Contemporary Bayesian Econometrics and Statistics
- The interplay of Bayesian and frequentist analysis
- Bayesian Analysis of DSGE Models
- Time to Build and Aggregate Fluctuations
Cited In (15)
- Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data
- Natural rate measures in an estimated DSGE model of the U.S. Economy
- Do DSGE models forecast more accurately out-of-sample than VAR models?
- Dynamic prediction pools: an investigation of financial frictions and forecasting performance
- Bayesian forecasting with small and medium scale factor-augmented vector autoregressive DSGE models
- How useful are DSGE macroeconomic models for forecasting?
- Assessing DSGE model nonlinearities
- Comparing DSGE-VAR forecasting models: how big are the differences?
- On the application and use of DSGE models
- Real-time forecast evaluation of DSGE models with stochastic volatility
- A new approach to multi-step forecasting using dynamic stochastic general equilibrium models
- Forecasting with a DSGE Model of a Small Open Economy within the Monetary Union
- Data revisions and DSGE models
- Estimating point and density forecasts for the US economy with a factor-augmented vector autoregressive DSGE model
- Forecasting Performance of an Open Economy DSGE Model
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