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dc.contributor.authorWolters, Maik H.en_US
dc.date.accessioned2011-08-12T09:51:32Z-
dc.date.available2011-08-12T09:51:32Z-
dc.date.issued2011en_US
dc.identifier.urihttp://hdl.handle.net/10419/48723-
dc.description.abstractThis 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.en_US
dc.language.isoengen_US
dc.publisherZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft Kiel und Hamburgen_US
dc.relation.ispartofseriesBeiträge zur Jahrestagung des Vereins für Socialpolitik 2011: Die Ordnung der Weltwirtschaft: Lektionen aus der Krise - Session: Forecasting Methods G17-V2en_US
dc.subject.jelC53en_US
dc.subject.jelE32en_US
dc.subject.jelE37en_US
dc.subject.ddc330en_US
dc.subject.keywordDSGE-
dc.subject.keywordforecasting-
dc.subject.keywordmodel uncertainty-
dc.subject.keyworddensity forecasts-
dc.subject.keywordbusiness cycle models-
dc.titleForecasting under Model Uncertaintyen_US
dc.typeConference Paperen_US
dc.identifier.ppn671755013en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:vfsc11:48723-
Appears in Collections:Jahrestagung des Vereins für Socialpolitik 2011: Die Ordnung der Weltwirtschaft - Lektionen aus der Krise

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