Artikel

Forecasting the Spanish economy with an augmented VAR-DSGE model

Over the past 10 years dynamic stochastic general equilibrium (DSGE) models have become an important tool in quantitative macroeconomics. However, DSGE models were not considered as a forecasting tool until very recently. The objective of this paper is twofold. First, we compare the forecasting ability of a canonical DSGE model for the Spanish economy with other standard econometric techniques. More precisely, we compare out-of-sample forecasts obtained from different estimationmethods of the DSGE model with the forecasts produced by a VAR and a Bayesian VAR. Second, we propose a new method for combining DSGE and VAR models (in what we have called Augmented VARDSGE) through the expansion of the variable space where the VAR operates with artificial series obtained from a DSGE model. The results indicate that the out-of-sample forecasting performance of the proposed method is capable of competing with all the considered alternatives, and thus even a simple canonical RBC model contains useful information that can be used for forecasting purposes.

Sprache
Englisch

Erschienen in
Journal: SERIEs - Journal of the Spanish Economic Association ; ISSN: 1869-4195 ; Volume: 2 ; Year: 2011 ; Issue: 3 ; Pages: 379-399 ; Heidelberg: Springer

Klassifikation
Wirtschaft
Forecasting Models; Simulation Methods
Business Fluctuations; Cycles
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
Thema
DSGE models
forecasting
VAR
BVAR
Konjunkturprognose
Dynamisches Gleichgewicht
VAR-Modell
Bayes-Statistik
Prognoseverfahren
Spanien

Ereignis
Geistige Schöpfung
(wer)
Fernández-de-Córdoba, Gonzalo
Torres, José L.
Ereignis
Veröffentlichung
(wer)
Springer
(wo)
Heidelberg
(wann)
2011

DOI
doi:10.1007/s13209-010-0036-1
Handle
Letzte Aktualisierung
10.03.2025, 11:43 MEZ

Datenpartner

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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Artikel

Beteiligte

  • Fernández-de-Córdoba, Gonzalo
  • Torres, José L.
  • Springer

Entstanden

  • 2011

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