Estimated DGE Models and Forecasting Accuracy: A Preliminary Investigation with Canadian Data
نویسنده
چکیده
This paper applies the hybrid dynamic general-equilibrium, vector autoregressive (DGE-VAR) model developed by Ireland (1999) to Canadian time series. It presents the first Canadian evidence that a hybrid DGE-VAR model may have better out-of-sample forecasting accuracy than a simple, structure-free VAR model. The evidence suggests that estimated DGE models have the potential to add good forecasting ability to their natural strength of adding structure to an economic model. JEL classification: E32, E37 Bank classification: Business fluctuations and cycles; Economic models
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