Confronting model misspecification in macroeconomics

DOI10.1016/J.JECONOM.2012.06.013MaRDI QIDQ528093zbMATH OpenOpenAlexFDO

Authors Daniel F. Waggoner, Tao Zha

Publication date 12 May 2017

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

Full work available at URL http://www.nber.org/papers/w17791.pdf, http://www.sciencedirect.com/science/article/pii/S0304407612001601

zbMATH Keywords

impulse responsesmodel uncertaintyparameter uncertaintypolicy analysisheterogenous modelsMarkov-switching mixtureregime-dependent weights

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84) Dynamic stochastic general equilibrium theory (91B51)

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• Dealing with misspecification in structural macroeconometric models
• Estimating point and density forecasts for the US economy with a factor-augmented vector autoregressive DSGE model
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• Mixed-frequency VAR models with Markov-switching dynamics
• Bayesian Analysis of DSGE Models

Cites work

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• Normalization in Econometrics
• Optimal prediction pools
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Cited in

(14)

• Uncertainty through the lenses of a mixed-frequency Bayesian panel Markov-switching model
• Joint Bayesian inference about impulse responses in VAR models
• Model averaging for asymptotically optimal combined forecasts
• Forecast density combinations of dynamic models and data driven portfolio strategies
• Generalised density forecast combinations
• Dealing with misspecification in structural macroeconometric models
• Dynamic prediction pools: an investigation of financial frictions and forecasting performance
• scientific article; zbMATH DE number 2190884 (Why is no real title available?)
• On the specification and estimation of large scale simultaneous structural macroeconometric models
• An application of hybrid MCMC and simulation smoother in estimating a DSGE model with measurement errors
• The effects of conventional and unconventional monetary policy on forecasting the yield curve
• Infinite Markov pooling of predictive distributions
• Structured ambiguity and model misspecification
• The macroeconomic controversy over price rigidity -- how to resolve it and how Bayesian estimation has led us astray

Describes a project that uses

Uses Software

• Gensys

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