EconStor >
Verein für Socialpolitik >
Jahrestagung des Vereins für Socialpolitik 2011: Die Ordnung der Weltwirtschaft - Lektionen aus der Krise >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/48723
  
Title:Forecasting under Model Uncertainty PDF Logo
Authors:Wolters, Maik H.
Issue Date:2011
Series/Report no.:Beiträge zur Jahrestagung des Vereins für Socialpolitik 2011: Die Ordnung der Weltwirtschaft: Lektionen aus der Krise - Session: Forecasting Methods G17-V2
Abstract:This paper investigates the accuracy of point and density forecasts of four dynamic stochastic general equilibrium (DSGE) models for output growth, inflation and the interest rate. The model parameters are estimated and forecasts are derived successively from historical U.S. data vintages synchronized with the Fed’s Greenbook projections. In addition, I compute weighted forecasts using simple combination schemes as well as likelihood based methods. While forecasts from structuralmodels fail to forecast large recessions and booms, they are quite accurate during normal times. Model forecasts compare particularly well to nonstructural forecasts and to Greenbook projections for horizons of three quarters ahead and higher. Weighted forecasts are more precise than forecasts from single models. A simple average of forecasts yields an accuracy comparable to the one obtained with state of the art time series methods that can incorporate large datasets. Comparing density forecasts of DSGE models with the actual distribution of observations shows that the models overestimate uncertainty around point forecasts.
Subjects:DSGE
forecasting
model uncertainty
density forecasts
business cycle models
JEL:C53
E32
E37
Document Type:Conference Paper
Appears in Collections:Jahrestagung des Vereins für Socialpolitik 2011: Die Ordnung der Weltwirtschaft - Lektionen aus der Krise

Files in This Item:
File Description SizeFormat
VfS_2011_pid_231.pdf406.28 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/48723

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.