| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7560 |
| DP7560 A Dynamic Quality Ladder Model with Entry and Exit: Exploring the Equilibrium Correspondence Using the Homotopy Method | |
| Ulrich Doraszelski; Yaroslav Kryukov; Ron N. Borkovsky | |
| 发表日期 | 2009-11-15 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | The aim of this paper is to assess whether explicitly modeling structural change increases the accuracy of macroeconomic forecasts. We produce real time out-of-sample forecasts for inflation, the unemployment rate and the interest rate using a Time-Varying Coefficients VAR with Stochastic Volatility (TV-VAR) for the US. The model generates accurate predictions for the three variables. In particular for inflation the TV-VAR outperforms, in terms of mean square forecast error, all the competing models: fixed coefficients VARs, Time-Varying ARs and the naïve random walk model. These results are also shown to hold over the most recent period in which it has been hard to forecast inflation. |
| 主题 | International Macroeconomics |
| 关键词 | Forecasting inflation stochastic volatility Time varying vector autoregression |
| URL | https://cepr.org/publications/dp7560 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/536396 |
| 推荐引用方式 GB/T 7714 | Ulrich Doraszelski,Yaroslav Kryukov,Ron N. Borkovsky. DP7560 A Dynamic Quality Ladder Model with Entry and Exit: Exploring the Equilibrium Correspondence Using the Homotopy Method. 2009. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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