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.
- Language
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Englisch
- Bibliographic citation
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Journal: SERIEs - Journal of the Spanish Economic Association ; ISSN: 1869-4195 ; Volume: 2 ; Year: 2011 ; Issue: 3 ; Pages: 379-399 ; Heidelberg: Springer
- Classification
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Wirtschaft
Forecasting Models; Simulation Methods
Business Fluctuations; Cycles
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
- Subject
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DSGE models
forecasting
VAR
BVAR
Konjunkturprognose
Dynamisches Gleichgewicht
VAR-Modell
Bayes-Statistik
Prognoseverfahren
Spanien
- Event
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Geistige Schöpfung
- (who)
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Fernández-de-Córdoba, Gonzalo
Torres, José L.
- Event
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Veröffentlichung
- (who)
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Springer
- (where)
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Heidelberg
- (when)
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2011
- DOI
-
doi:10.1007/s13209-010-0036-1
- Handle
- Last update
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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
- Artikel
Associated
- Fernández-de-Córdoba, Gonzalo
- Torres, José L.
- Springer
Time of origin
- 2011
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Exchange rate forecasting with DSGE models
Combining VAR and DSGE Forecast Densities
The relationship between DSGE and VAR models
Forecast combinations in a DSGE-VAR lab
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Short-term forecasting GDP with a DSGE model augmented by monthly indicators
Forecasting with DSGE Models
Forecasting with DSGE models
DSGE model-based forecasting
Predictive likelihood comparisons with DSGE and DSGE-VAR models
Merging structural and reduced-form models for forecasting: Opening the DSGE-VAR box
Forecasting using a Nonlinear DSGE Model
Exchange rate forecasting with DSGE models
Combining VAR and DSGE Forecast Densities
The relationship between DSGE and VAR models