| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w14872 |
| 来源ID | Working Paper 14872 |
| DSGE Model-Based Forecasting of Non-modelled Variables | |
| Frank Schorfheide; Keith Sill; Maxym Kryshko | |
| 发表日期 | 2009-04-08 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | This paper develops and illustrates a simple method to generate a DSGE model-based forecast for variables that do not explicitly appear in the model (non-core variables). We use auxiliary regressions that resemble measurement equations in a dynamic factor model to link the non-core variables to the state variables of the DSGE model. Predictions for the non-core variables are obtained by applying their measurement equations to DSGE model-generated forecasts of the state variables. Using a medium-scale New Keynesian DSGE model, we apply our approach to generate and evaluate recursive forecasts for PCE inflation, core PCE inflation, the unemployment rate, and housing starts along with predictions for the seven variables that have been used to estimate the DSGE model. |
| 主题 | Econometrics ; Estimation Methods ; Macroeconomics ; Consumption and Investment ; Money and Interest Rates |
| URL | https://www.nber.org/papers/w14872 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/572547 |
| 推荐引用方式 GB/T 7714 | Frank Schorfheide,Keith Sill,Maxym Kryshko. DSGE Model-Based Forecasting of Non-modelled Variables. 2009. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w14872.pdf（392KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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