Del Negro, Marco; Schorfheide, Frank; Smets, Frank; … - 2005
.4 Pseudo-out-of-sample forecast accuracy 37
5.5 Comparing the propagation of shocks 39
6 Conclusions 40
References 41
Tables … pseudo-out-of-sample forecasting experiment. With the
DSGE-VECM model, the forecast accuracy improvements obtained by …
‚ that has the highest
posterior probability, and a VAR with a very diffuse prior. The resulting root-mean-squared
forecast …