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
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 2010/07
- Klassifikation
-
Wirtschaft
Forecasting Models; Simulation Methods
Macroeconomic Aspects of International Trade and Finance: Forecasting and Simulation: Models and Applications
- Thema
-
DSGE model
conditional forecast
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Maih, Junior
- Ereignis
-
Veröffentlichung
- (wer)
-
Norges Bank
- (wo)
-
Oslo
- (wann)
-
2010
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Maih, Junior
- Norges Bank
Entstanden
- 2010
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