Search Results

The Incremental Predictive Information Associated with Using Theoretical New Keynesian DSGE Models Vs. Simple Linear Econometric Models

Download or Read eBook The Incremental Predictive Information Associated with Using Theoretical New Keynesian DSGE Models Vs. Simple Linear Econometric Models PDF written by Oleg Korenok and published by . This book was released on 2006 with total page 0 pages. Available in PDF, EPUB and Kindle.
The Incremental Predictive Information Associated with Using Theoretical New Keynesian DSGE Models Vs. Simple Linear Econometric Models
Author :
Publisher :
Total Pages : 0
Release :
ISBN-10 : OCLC:1375321216
ISBN-13 :
Rating : 4/5 (16 Downloads)

Book Synopsis The Incremental Predictive Information Associated with Using Theoretical New Keynesian DSGE Models Vs. Simple Linear Econometric Models by : Oleg Korenok

Book excerpt: In this paper we construct output gap and inflation predictions using a variety of dynamic stochastic general equilibrium (DSGE) sticky price models. Predictive density accuracy tests related to the test discussed in Corradi and Swanson [Journal of Econometrics (2005a), forthcoming] as well as predictive accuracy tests due to Diebold and Mariano [Journal of Business and Economic Statistics (1995), Vol. 13, pp. 253-263]; and West [Econometrica (1996), Vol. 64, pp. 1067-1084] are used to compare the alternative models. A number of simple time-series prediction models (such as autoregressive and vector autoregressive (VAR) models) are additionally used as strawman models. Given that DSGE model restrictions are routinely nested within VAR models, the addition of our strawman models allows us to indirectly assess the usefulness of imposing theoretical restrictions implied by DSGE models on unrestricted econometric models. With respect to predictive density evaluation, our results suggest that the standard sticky price model discussed in Calvo [Journal of Monetary Economics (1983), Vol. XII, pp. 383-398] is not outperformed by the same model augmented either with information or indexation, when used to predict the output gap. On the other hand, there are clear gains to using the more recent models when predicting inflation. Results based on mean square forecast error analysis are less clear-cut, although the standard sticky price model fares best at our longest forecast horizon of 3 years, it performs relatively poorly at shorter horizons. When the strawman time-series models are added to the picture, we find that the DSGE models still fare very well, often outperforming our forecast competitions, suggesting that theoretical macroeconomic restrictions yield useful additional information for forming macroeconomic forecasts.


The Incremental Predictive Information Associated with Using Theoretical New Keynesian DSGE Models Vs. Simple Linear Econometric Models Related Books

The Incremental Predictive Information Associated with Using Theoretical New Keynesian DSGE Models Vs. Simple Linear Econometric Models
Language: en
Pages: 0
Authors: Oleg Korenok
Categories:
Type: BOOK - Published: 2006 - Publisher:

DOWNLOAD EBOOK

In this paper we construct output gap and inflation predictions using a variety of dynamic stochastic general equilibrium (DSGE) sticky price models. Predictive
Handbook of Monetary Economics vols 3A+3B Set
Language: en
Pages: 1729
Authors: Benjamin M. Friedman
Categories: Business & Economics
Type: BOOK - Published: 2010-11-10 - Publisher: Elsevier

DOWNLOAD EBOOK

How have monetary policies matured during the last decade? The recent downturn in economies worldwide have put monetary policies in a new spotlight. In addition
Handbook of Monetary Economics 3A
Language: en
Pages: 755
Authors: Benjamin M. Friedman
Categories: Business & Economics
Type: BOOK - Published: 2010-11-17 - Publisher: Elsevier

DOWNLOAD EBOOK

How have monetary policies matured during the last decade? The recent downturn in economies worldwide have put monetary policies in a new spotlight. In addition
Bayesian Estimation of DSGE Models
Language: en
Pages: 295
Authors: Edward P. Herbst
Categories: Business & Economics
Type: BOOK - Published: 2015-12-29 - Publisher: Princeton University Press

DOWNLOAD EBOOK

Dynamic stochastic general equilibrium (DSGE) models have become one of the workhorses of modern macroeconomics and are extensively used for academic research a
Handbook of Macroeconomics
Language: en
Pages: 596
Authors: John B. Taylor
Categories: Business & Economics
Type: BOOK - Published: 1999-12-13 - Publisher: North Holland

DOWNLOAD EBOOK

This text aims to provide a survey of the state of knowledge in the broad area that includes the theories and facts of economic growth and economic fluctuations
Scroll to top