Ivashchenko, Sergey; Gupta, Rangan - In: Journal of Central Banking Theory and Practice 7 (2018) 2, pp. 73-98
A medium-scale nonlinear dynamic stochastic general equilibrium (DSGE) model was estimated (54 variables, 29 state … (RMSE) of the in-sample and out-of-sample forecasts was calculated. The nonlinear DSGE model with measurement errors … outperforms AR (1), VAR (1) and the linearised DSGE in terms of the quality of the out-of-sample forecasts. The nonlinear DSGE …