Real-time forecast evaluation of DSGE models with stochastic volatility

DOI10.1016/j.jeconom.2017.08.011zbMath1377.62210OpenAlexW3123137325MaRDI QIDQ1676378

Francis X. Diebold, Frank Schorfheide, Minchul Shin

Publication date: 7 November 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.nber.org/papers/w22615.pdf

zbMATH Keywords

predictionstochastic volatilitydynamic stochastic general equilibrium model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Dynamic stochastic general equilibrium theory (91B51)

Related Items (8)

Assessing DSGE model nonlinearities ⋮ Precision-based sampling for state space models that have no measurement error ⋮ What cycles? Data detrending in DSGE models ⋮ Constrained interest rates and changing dynamics at the zero lower bound ⋮ Using time-varying volatility for identification in vector autoregressions: an application to endogenous uncertainty ⋮ Editors' introduction ⋮ DSGE models with observation-driven time-varying volatility ⋮ Quasi‐Bayesian Estimation of Time‐Varying Volatility in DSGE Models

Uses Software

• bvarsv
• Gensys

Cites Work

• Evaluating DSGE model forecasts of comovements
• Combining VAR and DSGE forecast densities
• Solving linear rational expectations models
• Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility
• The Impact of Uncertainty Shocks
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Time Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum
• Estimating Macroeconomic Models: A Likelihood Approach

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