Arbeitspapier
Combining VAR and DSGE Forecast Densities
A popular macroeconomic forecasting strategy takes combinations across many models to hedge against instabilities of unknown timing; see (among others) Stock and Watson (2004), Clark and McCracken (2010), and Jore et al. (2010). Existing studies of this forecasting strategy exclude Dynamic Stochastic General Equilibrium (DSGE) models, despite the widespread use of these models by monetary policymakers. In this paper, we combine inflation forecast densities utilizing an ensemble system comprising many Vector Autoregressions (VARs), and a policymaking DSGE model. The DSGE receives substantial weight (for short horizons) provided the VAR components exclude structural breaks. In this case, the inflation forecast densities exhibit calibration failure. Allowing for structural breaks in the VARs reduces the weight on the DSGE considerably, and produces well-calibrated forecast densities for inflation.
- Sprache
-
Englisch
- ISBN
-
978-82-7553-529-8
- Erschienen in
-
Series: Working Paper ; No. 2009/23
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Forecasting Models; Simulation Methods
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
- Thema
-
VAR models
DSGE models
ensemble modelling
forecast densities
forecast evaluation
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Bache, Ida Wolden
Jore, Anne Sofie
Mitchell, James
Vahey, Shaun P.
- Ereignis
-
Veröffentlichung
- (wer)
-
Norges Bank
- (wo)
-
Oslo
- (wann)
-
2009
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Bache, Ida Wolden
- Jore, Anne Sofie
- Mitchell, James
- Vahey, Shaun P.
- Norges Bank
Entstanden
- 2009
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