Combining VAR and DSGE forecast densities

DOI10.1016/J.JEDC.2011.04.006MaRDI QIDQ647655zbMATH OpenOpenAlexFDO

Authors Juan-Miguel Gracia

Publication date 24 November 2011

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/11250/2497618

zbMATH Keywords

forecast evaluationDSGE modelsVAR modelsensemble modelingforecast densities

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3390199 (Why is no real title available?)
• A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
• Combining Expert Judgments: A Bayesian Approach
• Combining Probability Distributions from Dependent Information Sources
• Combining inflation density forecasts
• Combining probability distributions: A critique and an annotated bibliography
• Complete and incomplete econometric models.
• Decision Analysis Expert Use
• Estimating Macroeconomic Models: A Likelihood Approach
• Evaluating an estimated New Keynesian small open economy model
• Forecast Combination and Model Averaging Using Predictive Measures
• Non-linear models: where do we go next - time varying parameter models?
• Present Position and Potential Developments: Some Personal Views: Statistical Theory: The Prequential Approach
• Real-time density forecasts from Bayesian vector autoregressions with stochastic volatility
• Reconciliation of Probability Distributions
• Remarks on a Multivariate Transformation

Cited in

(9)

• Forecast combinations in a DSGE-VAR lab
• Dynamic prediction pools: an investigation of financial frictions and forecasting performance
• A structural approach to combining external and DSGE model forecasts
• Combining inflation density forecasts
• Comparing DSGE-VAR forecasting models: how big are the differences?
• Real-time forecast evaluation of DSGE models with stochastic volatility
• Construction of multi-step forecast regions of VAR processes using ordered block bootstrap
• Bootstrap based multi-step ahead joint forecast densities for financial interval-valued time series
• Policy‐Oriented Macroeconomic Forecasting with Hybrid DGSE and Time‐Varying Parameter VAR Models

Describes a project that uses

Uses Software

• Dynare
• R

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