Arbeitspapier
Conditional Forecasts in DSGE Models
New-generation DSGE models are sometimes misspecified in dimensions that matter for their forecasting performance. The paper suggests one way to improve the forecasts of a DSGE model using a conditioning information that need not be accurate. The technique presented allows for agents to anticipate the information on the conditioning variables several periods ahead. It also allows the forecaster to apply a continuum of degrees of uncertainty around the mean of the conditioning information, making hard-conditional and unconditional forecasts special cases. An application to a small open-economy DSGE model shows that the benefits of conditioning depend crucially on the ability of the model to capture the correlation between the conditioning information and the variables of interest.
- ISBN
-
978-82-7553-553-3
- Language
-
Englisch
- Bibliographic citation
-
Series: Working Paper ; No. 2010/07
- Classification
-
Wirtschaft
Forecasting Models; Simulation Methods
Macroeconomic Aspects of International Trade and Finance: Forecasting and Simulation: Models and Applications
- Subject
-
DSGE model
conditional forecast
- Event
-
Geistige Schöpfung
- (who)
-
Maih, Junior
- Event
-
Veröffentlichung
- (who)
-
Norges Bank
- (where)
-
Oslo
- (when)
-
2010
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Maih, Junior
- Norges Bank
Time of origin
- 2010
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Evaluating Real-Time Forecasts from Norges Bank's System for Averaging Models
Solving Second and Third-Order Approximations to DSGE Models: A Recursive Sylvester Equation Solution
Density Forecasts with Midas Models
Implementing the Zero Lower Bound in an Estimated Regime-Switching DSGE Model
Combining Inflation Density Forecasts
Expectations switching in a DSGE model of the UK
Norwegen, 1 Krone
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