English, Article, Journal or magazine article edition: Forecasting the Spanish economy with an Augmented VAR-DSGE model Gonzalo Fernández-de-Córdoba; José L. Torres

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Bookmark: http://trove.nla.gov.au/version/467
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Forecasting the Spanish economy with an Augmented VAR-DSGE model
Author
  • Gonzalo Fernández-de-Córdoba
  • José L. Torres
Physical Description
  • preprint
Notes
  • During the past ten years Dynamic Stochastic General Equilibrium (DSGE) models have become an important tool in quantitative macroeconomics. However, DSGE models was not considered as a forecasting tool until very recently. The objective of this paper is twofold. First, we compare the forecasting ability of a canonical DSGE model for the Spanish economy with other standard econometric techniques. More precisely, we compare out-of-sample forecasts coming from different estimation methods of the DSGE model to the forecasts produced by a VAR and a Bayesian VAR. Second, we propose a new method for combining DSGE and VAR models (Augmented VAR-DSGE) through the expansion of the variable space where the VAR operates with artificial series obtained from a DSGE model. The results indicate that the out-of-sample forecasting performance of the proposed method outperforms all the considered alternatives.
  • DSGE models, forecasting, VAR, BVAR
  • RePEc:mal:wpaper:2009-1
Language
  • English
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