Comparing DSGE-VAR forecasting models: How big are the differences?

Andra C. Ghent

Research output: Contribution to journalArticle

12 Citations (Scopus)

Abstract

I generate priors for a vector autoregression (VAR) from a standard real business cycle (RBC) model, an RBC model with capital-adjustment costs and habit formation, and a sticky-price model with an unaccommodating monetary authority. The response of hours worked to a TFP shock differs sharply across these models. I compare the accuracy of forecasts made from each of the resulting dynamic stochastic general equilibrium vector autoregression (DSGE-VAR) models. Despite having different structural characteristics, the DSGE-VARs are comparable in terms of forecasting performance. As in previous work, DSGE-VARs compare favorably with atheoretical VARs.

Original languageEnglish (US)
Pages (from-to)864-882
Number of pages19
JournalJournal of Economic Dynamics and Control
Volume33
Issue number4
DOIs
StatePublished - Apr 2009
Externally publishedYes

Fingerprint

Vector Autoregression
General Equilibrium
Stochastic Dynamics
Forecasting
Real Business Cycles
Habit Formation
Adjustment Costs
Model
Forecast
Shock
Industry
Vector autoregression
Dynamic stochastic general equilibrium
Real business cycle models
Costs

Keywords

  • Business cycles
  • Economic fluctuations
  • Hours debate
  • Model evaluation
  • Priors from DSGE models

ASJC Scopus subject areas

  • Economics and Econometrics
  • Control and Optimization
  • Applied Mathematics

Cite this

Comparing DSGE-VAR forecasting models : How big are the differences? / Ghent, Andra C.

In: Journal of Economic Dynamics and Control, Vol. 33, No. 4, 04.2009, p. 864-882.

Research output: Contribution to journalArticle

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