Arbeitspapier
Pooling Forecasts in Linear Rational Expectations Models
Estimating linear rational expectations models requires replacing the expectations of future, endogenous variables either with forecasts from a fully solved model, or with the instrumented actual values, or with forecast survey data. Extending the methods of McCallum (1976) and Gottfries and Persson (1988), I show how to pool these methods and also use actual, future values of these variables to improve statistical efficiency. The method is illustrated with an application using SPF survey data in the US Phillips curve, where the output gap plays a significant role but lagged inflation plays none.
- Language
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Englisch
- Bibliographic citation
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Series: Queen's Economics Department Working Paper ; No. 1129
- Classification
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Wirtschaft
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
Forecasting Models; Simulation Methods
- Subject
-
rational expectations
recursive projection
Phillips curve
Mehrgleichungsmodell
Rationale Erwartung
Prognoseverfahren
Phillips-Kurve
Theorie
- Event
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Geistige Schöpfung
- (who)
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Smith, Gregor W.
- Event
-
Veröffentlichung
- (who)
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Queen's University, Department of Economics
- (where)
-
Kingston (Ontario)
- (when)
-
2007
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the 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
- Smith, Gregor W.
- Queen's University, Department of Economics
Time of origin
- 2007
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