Comparing the DSGE modelwith the factor model:an out-of-sample forecasting experiment

In this papaer, we put DSGE forecasts in competition with factor forecasts. We focus on these two models since they represent nicely the two opposing forecasting philosophies. The DSGE model on the one hand has a strong theoretical economic background; the factor model on the other hand is mainly data-driven.[...]

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Year of publication:	2008-02-25
Authors:	Wang, Mu-Chun
Institutions:	Deutsche Bundesbank <Frankfurt, Main> / Volkswirtschaftliche Forschungsgruppe
Subject:	Prognosequalität \| forecasting \| Prognoseverfahren \| Gleichgewichtsmodell \| Zeitreihenanalyse \| time series analysis

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1 Introduction
2 Forecasting Models
2.1 Factor Model
2.2 New Keynesian DSGE Model
3 Data and Estimation
3.1 Data and Experimental Design
3.2 Data Treatment and Estimation
4 Forecasting Results
4.1 Estimation Results of the DSGE Model
4.2 Informativeness of Forecasts
4.3 Various Factors and VAR Specifications
4.4 Testing equal predictive ability
5 Conclusion

Persistent link: https://www.econbiz.de/10005866191