Arbeitspapier
How good are out of sample forecasting Tests on DSGE models?
Out-of-sample forecasting tests of DSGE models against time-series benchmarks such as an unrestricted VAR are increasingly used to check a) the specification b) the forecasting capacity of these models. We carry out a Monte Carlo experiment on a widely-used DSGE model to investigate the power of these tests. We find that in specification testing they have weak power relative to an in-sample indirect inference test; this implies that a DSGE model may be badly mis-specified and still improve forecasts from an unrestricted VAR. In testing forecasting capacity they also have quite weak power, particularly on the lefthand tail. By contrast a model that passes an indirect inference test of specification will almost definitely also improve on VAR forecasts.
- Language
-
Englisch
- Bibliographic citation
-
Series: Cardiff Economics Working Papers ; No. E2014/11
- Classification
-
Wirtschaft
General Aggregative Models: General
General Aggregative Models: Forecasting and Simulation: Models and Applications
- Subject
-
Out of sample forecasts
DSGE
VAR
specification tests
indirect inference
forecast performance
DSGE-Modell
Prognoseverfahren
Modellierung
Statistischer Test
VAR-Modell
Theorie
- Event
-
Geistige Schöpfung
- (who)
-
Minford, Patrick
Xu, Yongdeng
Zhou, Peng
- Event
-
Veröffentlichung
- (who)
-
Cardiff University, Cardiff Business School
- (where)
-
Cardiff
- (when)
-
2014
- Handle
- Last update
- 10.03.2025, 11:41 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
- Minford, Patrick
- Xu, Yongdeng
- Zhou, Peng
- Cardiff University, Cardiff Business School
Time of origin
- 2014
Other Objects (12)
A DSGE Model of China
Resolving the public sector wage premium puzzle by indirect inference
Small sample performance of indirect inference on DSGE models
The small sample properties of indirect inference in testing and estimating DSGE models
Some problems in the testing of DSGE models
Does inattentiveness matter for DSGE modelling? An empirical investigation
Testing part of a DSGE model by indirect inference
Understanding UK trade agreements with the EU and other countries
The effects of Brexit on the UK economy
Evaluating European trading arrangements
Post-Brexit realism and international law: Renegotiating a bad Withdrawal Agreement
Where next for monetary policy? Lessons from the financial crisis and the pandemic
A DSGE Model of China
Resolving the public sector wage premium puzzle by indirect inference
Small sample performance of indirect inference on DSGE models
The small sample properties of indirect inference in testing and estimating DSGE models
Some problems in the testing of DSGE models
Does inattentiveness matter for DSGE modelling? An empirical investigation
Testing part of a DSGE model by indirect inference
Understanding UK trade agreements with the EU and other countries
The effects of Brexit on the UK economy
Evaluating European trading arrangements
Post-Brexit realism and international law: Renegotiating a bad Withdrawal Agreement
Where next for monetary policy? Lessons from the financial crisis and the pandemic
A DSGE Model of China
Resolving the public sector wage premium puzzle by indirect inference
Small sample performance of indirect inference on DSGE models
The small sample properties of indirect inference in testing and estimating DSGE models
Some problems in the testing of DSGE models
Does inattentiveness matter for DSGE modelling? An empirical investigation
Testing part of a DSGE model by indirect inference
Understanding UK trade agreements with the EU and other countries
The effects of Brexit on the UK economy
Evaluating European trading arrangements
Post-Brexit realism and international law: Renegotiating a bad Withdrawal Agreement