[PDF] Top 20 Evaluating point and density forecasts of DSGE models

... the forecasts from the model by Smets and Wouters (2007) are more precise than those of the other considered DSGE ...other models. Even for a given subsample the most precise forecasts for the ... See full document

... forecast models underpredict the occurrence of Event III and ...medium-large DSGE model, which clearly overpredict the likelihood of Event IV at all forecast ...all models seem to have difficul- ties ... See full document

... into DSGE models, such as Christensen and Dib (2008), De Graeve (2008), Christiano et ...different models by comparing the density forecasts of two competing DSGE models ... See full document

... of DSGE models requires data on a set of macroeconomic aggregates, such as output, consumption and investment, which are subject to data ...mate DSGE models, but the model is still helpful for ... See full document

... a density forecasting model can rarely be compared to the true generating distribution in real world ...for evaluating point predictions such as the root-mean-squared error (RMSE) and others fail to ... See full document

... of density fore- casting, for example, Schervish uses it for evaluation of classification problems [3], Christoffessen adapts it for prediction intervals [16], and there is an equivalent method of evaluation for ... See full document

... To test the calculation of the contribution of a group of shocks to the spectral density and covariance structure of the filtered cyclical variables we carried out simple simulation exercises. For a particular ... See full document

... The national—not to mention the world—economy is unbelievably compli- cated, and its nature is usually changing underneath us. So there is no chance that anyone will ever get it quite right, once and for all. Economic ... See full document

... proposal density for each block by adapting the location and curvature and holding other blocks fixed at every ...likelihood-based DSGE estimations have used, is faster and convenient to calculate marginal ... See full document

... inflation forecasts the deviations are more evenly balanced, suggesting that, in an inflation targeting regime, a favourable scenario is one in which the official target is achieved in the medium term, and this ... See full document

... in point estimates is confirmed by the posterior distributions around these point ...predictive density (vertical axis) to the posterior density for the realized sample (horizontal axis) for ... See full document

... To test calibration of the forecasting models against each other I employ a relative forecast cali- bration test based on the RFC property discussed above. The test is designed as one-sided to increase its power, ... See full document

... in density estimation ...general density estimation ...of density estimation with DPM ...true density has heavy ...conditional density estimation, similar mixture structure can be ... See full document

... interval forecasts obtained from the GARCH model are conditionally well calibrated, at every level of coverage, and in both unconditional and regime-conditional ...SETAR models fail the conditional coverage ... See full document

... purposes, models serve as an artificial vision to a human observer, since they help enhance the capacity to detect what natural observations might have ...Mechanistic models generally amplify the capacity ... See full document

... of forecasts of macroeconomic variables, such as growth, is the subject of a large academic ...explores forecasts qualitative ...which forecasts of the direction of change in a variable between years ... See full document

... rate models in forecasting the level of the exchange rate, surprisingly little attention has been devoted to forecasting the density of exchange ...the density forecast of a variable 2 - as opposed ... See full document

... The forecasts for the disaggregate models are based on the same data as is used to forecast using the aggregate models but instead forecasts are derived separately for each individual.. [r] ... See full document

... McCallum (1983) has argued that a model with an indeterminate set of equilibria is incompletely specified and he recommends a procedure, the mini- mal state variable solution, for selecting one of the many possible ... See full document

... This paper contributes to the broader literature documenting properties of the co-movement between credit markets and the real economy. The financial crisis of 2007-2009 and the ensuing recession has renewed interest in ... See full document