Confronting model misspecification in macroeconomics
DOI10.1016/J.JECONOM.2012.06.013zbMATH Open1443.62512OpenAlexW3126145247MaRDI QIDQ528093FDOQ528093
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
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impulse responsesmodel uncertaintyparameter uncertaintypolicy analysisheterogenous modelsMarkov-switching mixtureregime-dependent weights
Applications of statistics to economics (62P20) Economic time series analysis (91B84) Dynamic stochastic general equilibrium theory (91B51)
Cites Work
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- Contemporary Bayesian Econometrics and Statistics
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- Adjustment of Monthly or Quarterly Series to Annual Totals: An Approach Based on Quadratic Minimization
Cited In (11)
- Model averaging for asymptotically optimal combined forecasts
- Joint Bayesian inference about impulse responses in VAR models
- Forecast density combinations of dynamic models and data driven portfolio strategies
- Generalised density forecast combinations
- Dynamic prediction pools: an investigation of financial frictions and forecasting performance
- Title not available (Why is that?)
- On the specification and estimation of large scale simultaneous structural macroeconometric models
- 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
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