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
Full text not available from this repository.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 |
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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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