Kapetanios, G and Price, S and Theodoridis, K (2015) 'A new approach to multi-step forecasting using dynamic stochastic general equilibrium models.' Economics Letters, 136 (C). pp. 237-242. ISSN 0165-1765

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Abstract

DSGE models are of interest because they offer structural interpretations, but are also increasingly used for forecasting. Estimation often proceeds by methods which involve building the likelihood by one-step ahead (h=1) prediction errors. However in principle this can be done using different horizons where h>1. Using the well-known model of Smets and Wouters (2007), for h=1 classical ML parameter estimates are similar to those originally reported. As h extends some estimated parameters change, but not to an economically significant degree. Forecast performance is often improved, in several cases significantly.

Item Type:	Article
Uncontrolled Keywords:	DSGE models; Multi-step errors; Forecasting
Subjects:	H Social Sciences > HG Finance
Divisions:	Faculty of Social Sciences Faculty of Social Sciences > Essex Business School Faculty of Social Sciences > Essex Business School > Essex Finance Centre
SWORD Depositor:	Elements
Depositing User:	Elements
Date Deposited:	22 Nov 2016 10:54
Last Modified:	06 Jan 2022 13:38
URI:	http://repository.essex.ac.uk/id/eprint/18197

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