| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8604 |
| DP8604 Incorporating theoretical restrictions into forecasting by projection methods | |
| Raffaella Giacomini; Giuseppe Ragusa | |
| 发表日期 | 2011-10-01 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | We propose a method for modifying a given density forecast in a way that incorporates the information contained in theory-based moment conditions. An example is "improving" the forecasts from atheoretical econometric models, such as factor models or Bayesian VARs, by ensuring that they satisfy theoretical restrictions given for example by Euler equations or Taylor rules. The method yields a new density (and thus point-) forecast which has a simple and convenient analytical expression and which by construction satisfies the theoretical restrictions. The method is flexible and can be used in the realistic situation in which economic theory does not specify a likelihood for the variables of interest, and thus cannot be readily used for forecasting. |
| 主题 | International Macroeconomics |
| 关键词 | Forecast comparisons Bayesian var Exponential tilting Euler conditions |
| URL | https://cepr.org/publications/dp8604 |
| 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/537441 |
| 推荐引用方式 GB/T 7714 | Raffaella Giacomini,Giuseppe Ragusa. DP8604 Incorporating theoretical restrictions into forecasting by projection methods. 2011. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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