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- W9715478 abstract "In this paper we employ advanced Bayesian methods in estimating dynamic stochastic general equilibrium (DSGE) models. Although policymakers and practitioners are particularly interested in DSGE models, these are typically too stylized to be taken directly to the data and often yield weak prediction results. Very recently, hybrid models have become popular for dealing with some of the DSGE model misspecifications. Major advances in Bayesian estimation methodology could allow these models to outperform well-known time series models and effectively deal with more complex real-world problems as richer sources of data become available. This study includes a comparative evaluation of the out-of-sample predictive performance of many different specifications of estimated DSGE models and various classes of VAR models, using datasets from the US economy. Simple and hybrid DSGE models are implemented, such as DSGE-VAR and tested against standard, Bayesian and Factor Augmented VARs. In this study we focus on a Factor Augmented DSGE model that is estimated using Bayesian approaches. The investigated period spans 1960:Q4 to 2010:Q4 for the real GDP, the harmonized CPI and the nominal short-term interest rate. We produce their forecasts for the out-of-sample testing period 1997:Q1-2010:Q4. This comparative validation can be useful to monetary policy analysis and macro-forecasting with the use of advanced Bayesian methods." @default.
- W9715478 created "2016-06-24" @default.
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- W9715478 date "2013-04-01" @default.
- W9715478 modified "2023-09-27" @default.
- W9715478 title "Bayesian Forecasting with a Factor-Augmented Vector Autoregressive DSGE model" @default.
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