| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP10201
|
| DP10201 Economic theory and forecasting: lessons from the literature |
| Raffaella Giacomini
|
| 发表日期 | 2014-10-12
|
| 出版年 | 2014
|
| 语种 | 英语
|
| 摘要 | Does economic theory help in forecasting key macroeconomic variables? This article aims to provide some insight into the question by drawing lessons from the literature. The definition of "economic theory" includes a broad range of examples, such as accounting identities, disaggregation and spatial restrictions when forecasting aggregate variables, cointegration and forecasting with Dynamic Stochastic General Equilibrium (DSGE) models. We group the lessons into three themes. The first discusses the importance of using the correct econometric tools when answering the question. The second presents examples of theory-based forecasting that have not proven useful, such as theory-driven variable selection and some popular DSGE models. The third set of lessons discusses types of theoretical restrictions that have shown some usefulness in forecasting, such as accounting identities, disaggregation and spatial restrictions, and cointegrating relationships. We conclude by suggesting that economic theory might help in overcoming the widespread instability that affects the forecasting performance of econometric models by guiding the search for stable relationships that could be usefully exploited for forecasting. |
| 主题 | International Macroeconomics
|
| 关键词 | Bayesian methods
Dsge models
Exponential tilting
|
| URL | https://cepr.org/publications/dp10201
|
| 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/539034
|
推荐引用方式
GB/T 7714 |
Raffaella Giacomini. DP10201 Economic theory and forecasting: lessons from the literature. 2014.
|
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