Do DSGE models forecast more accurately out-of sample than VAR models?

Advances in Econometrics

Volumn 32, Issue , 2013, Pages 27-79

  Gürkaynak, Refet S ^a   Kisacikoǧlu, Burçin ^b   Rossi, Barbara ^c  

^a BILKENT UNIVERSITY   (Turkey)

^b JOHNS HOPKINS UNIVERSITY   (United States)

^c BARCELONA GRADUATE SCHOOL OF ECONOMICS   (Spain)

Author keywords

Bayesian VAR; DSGE; Forecast optimality; Forecasting; Real time data

Indexed keywords

EID: 84901390837     PISSN: 07319053     EISSN: None     Source Type: Book Series    
DOI: 10.1108/S0731-9053(2013)0000031002     Document Type: Article

References (30)

1. Adolfson, M., Linde, J., & Villani, M. (2007). Forecasting performance of an open economy dynamic stochastic general equilibrium model. Econometric Reviews, 26(2-4), 289-328.
2. Bache, I. W., Jore, A. S., Mitchell, J., & Vahey, S. P. (2011). Combining VAR and DSGE forecast densities. Journal of Economic Dynamics and Control, 35(10), 1659-1670.
3. Christoffel, K., Coenen, G., & Warne, A. (2011). Forecasting with DSGE Models. In M. P. Clements & D. F. Hendry (Eds.), Handbook of economic forecasting (pp. 89-127). Oxford, UK: Oxford University Press.
4. Del Negro, M., & Schorfheide, F. (2013). Forecasting with DSGE models: Theory and practice. In G. Elliott & A. Timmermann (Eds.), Handbook of forecasting (Vol. 2). Amsterdam, The Netherlands: Elsevier.
5. Diebold, F. X., & Mariano, R. S. (1995). Comparing predictive accuracy. Journal of Business and Economic Statistics, 13, 253-263.
6. Edge, R. M., & Gü rkaynak, R. S. (2010). How useful are estimated DSGE model forecasts for central bankers? Brookings Papers on Economic Activity, 41(2), 209-259.
7. Edge, R. M., Gü rkaynak, R. S., & Kisacikoǧ lu, B. (2013). Judging the DSGE model by its forecast. mimeo, Bilkent University.
8. Edge, R. M., Kiley, M. T., & Laforte, J. P. (2010). A comparison of forecast performance between federal reserve staff forecasts, simple reduced-form models, and a DSGE model. Journal of Applied Econometrics, 25(4), 720-754.
9. Giacomini, R., & Rossi, B. (2010). Forecast comparisons in unstable environments. Journal of Applied Econometrics, 25(4), 595-620.
10. Giacomini, R., & Rossi, B. (2012). Model comparisons in unstable environments. mimeo, Univ. PompeuFabra.
11. Giacomini, R., & White, H. (2006). Tests of conditional predictive ability. Econometrica, 74, 1545-1578.
12. Hansen, P. R., & Timmermann, A. (2012). Choice of sample split in out-of-sample forecast evaluation. mimeo, EUI.
13. Inoue, A., & Kilian, L. (2006). On the selection of forecasting models. Journal of Econometrics, 130(2), 273-306.
14. Inoue, A., & Kilian, L. (2008). How useful is bagging in forecasting economic time series? A case study of U.S. consumer price inflation. Journal of the American Statistical Association, 103, 511-522.
15. Inoue, A., & Rossi, B. (2012). Out-of-sample forecast tests robust to the choice of window size. Journal of Business and Economic Statistics, 30(3), 432-453.
16. Kilian, L., & Vigfusson, R. J. (2013). Do oil prices help forecast U.S. real GDP? The role of nonlinearities and asymmetries. Journal of Business and Economic Statistics, 31(1), 78-93.
17. Lees, K., Matheson, T., & Smith, C. (2011). Open economy forecasting with a DSGE-VAR: Head to head with the RBNZ published forecasts, International Journal of Forecasting, 27(2), 512-528.
18. Marcellino, M., Stock, J. H., & Watson, M. W. (2005). A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series. Journal of Econometrics, 135(1-2), 499-526.
19. Mincer, J., & Zarnowitz, V. (1969). The evaluation of economic forecasts. In J. Mincer (Ed.), Economic forecasts and expectations (pp. 81-111). New York, NY: National Bureau of Economic Research.
20. Ravazzolo, F., & Rothman, P. (2010). Oil and U.S. GDP: A real-time out-of-sample examination. Norges Bank Working Paper 2010/18.
21. Rossi, B. (2013). Advances in forecasting under model instability. In G. Elliott & A. Timmermann (Eds.), Handbook of economic forecasting (Vol. 2), Amsterdam: Elsevier.
22. Rossi, B., & Sekhposyan, T. (2010). Has models' forecasting performance changed over time, and when? International Journal of Forecasting, 26(4).
23. Rossi, B., & Sekhposyan, T. (2012). Forecast optimality tests in the presence of instabilities: mimeo, Univ. PompeuFabra.
24. Smets, F., & Wouters, R. (2007). Shocks and frictions in U.S. business cycles: A Bayesian DSGE approach. American Economic Review, 97(3), 586-607.
25. Stock, J. H., & Watson, M. W. (2001). Vector autoregressions. Journal of Economic Perspectives, 15(4), 101-115.
26. Stock, J. H., & Watson, M. W. (2003). Forecasting output and inflation: The role of asset prices. Journal of Economic Literature, 41(3), 788-829.
27. Stock, J. H., & Watson, M. W. (2004). Combination forecasts of output growth in a seven country data set. Journal of Forecasting, 23, 405-430.
28. Stock, J. H., & Watson, M. W. (2007). Why has inflation become harder to forecast? Journal of Money, Credit and Banking, 39(1), 3-34.
29. Timmermann, A. (2006). Forecast combinations. In G. Elliott, C. Granger, & A. Timmermann (Eds.), Handbook of economic forecasting (Vol. 1). Amsterdam, The Netherlands: North Holland Elsevier.
30. Wieland, V., & Wolters, M. H. (2012). Forecasting and policy making. In G. Elliott & A. Timmermann (Eds.), Handbook of forecasting (Vol. 2). Amsterdam, The Netherlands: Elsevier.