Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/278307 
Authors: 
Year of Publication: 
2023
Series/Report no.: 
ECB Working Paper No. 2768
Publisher: 
European Central Bank (ECB), Frankfurt a. M.
Abstract: 
This paper compares within-sample and out-of-sample fit of a DSGE model with rational expectations to a model with adaptive learning. The Galí, Smets and Wouters model is the chosen laboratory using quarterly real-time euro area data vintages, covering 2001Q1-2019Q4. The adaptive learning model obtains better within-sample fit for all vintages used for estimation in the forecast exercise and for the full sample. However, the rational expectations model typically predicts real GDP growth better as well as jointly with inflation. For the marginal inflation forecasts, the same holds for the inner quarters of the forecast horizon, while the adaptive learning model predicts better for the outer quarters.
Subjects: 
Bayesian inference
CRPS
euro area
forecast comparison/evaluation
log score
real-time data
JEL: 
C11
C32
C52
C53
E37
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-5510-2
Document Type: 
Working Paper

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