منابع مشابه
mortality forecasting based on lee-carter model
over the past decades a number of approaches have been applied for forecasting mortality. in 1992, a new method for long-run forecast of the level and age pattern of mortality was published by lee and carter. this method was welcomed by many authors so it was extended through a wider class of generalized, parametric and nonlinear model. this model represents one of the most influential recent d...
15 صفحه اولForecasting with DSGE Models
In this paper we review the methodology of forecasting with log-linearised DSGE models using Bayesian methods. We focus on the estimation of their predictive distributions, with special attention being paid to the mean and the covariance matrix of h-steps ahead forecasts. In the empirical analysis, we examine the forecasting performance of the New Area-Wide Model (NAWM) that has been designed f...
متن کاملEstimating a medium–scale DSGE model with expectations based on small forecasting models
In this paper we evaluate the empirical performance of a medium–scale DSGE model (Smets andWouters 2007) when agents form expectations about forward variables by using small forecasting models. Agents learn about these simple AR and VAR forecasting models through Kalman filter estimation and they combine them either using a prediction basedweighting scheme or fixed weights. The results indicate...
متن کاملForecasting the South African Economy: A DSGE-VAR Approach
This paper develops an estimated hybrid model that combines the micro-founded DSGE model with the flexibility of the theoretical VAR model. The model is estimated via the maximum likelihood technique based on quarterly data on real Gross National Product (GNP), consumption, investment and hours worked, for the South African economy, over the period of 1970:1 to 2000:4. Based on a recursive esti...
متن کاملA Forecasting Metric for Evaluating DSGE Models for Policy Analysis
This paper applies a new Bayesian framework laid out in Faust and Gupta (2009) for evaluating the suitability of dynamic stochastic general equilibrium (DSGE) models for the task of monetary policy analysis. The paper characterizes practical monetary policy analysis as determining how intended policy should be revised in light of the structural interpretation of incoming news. The news is defin...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2012
ISSN: 1556-5068
DOI: 10.2139/ssrn.2018451