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Prediction Using Several Macroeconomic Models
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DOI：10.1162/REST_a_00655.png)
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摘要
En 中文
We establish methods that improve the predictions of macroeconometric modelsdynamic factor models, dynamic stochastic general equilibrium models, and vector autoregressionsusing a quarterly U.S. data set. We measure prediction quality with one-step-ahead probability densities assigned in real time. Two steps lead to substantial improvements: (a) the use of full Bayesian predictive distributions rather than conditioning on the posterior mode for parameters and (b) the use of an equally weighted pool.
Keyword:
VECTOR AUTOREGRESSIONS
MONETARY-POLICY
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6.8
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3.6K
被引数:
2.1W
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