Estimating point and density forecasts for the US economy with a factor-augmented vector autoregressive DSGE model

DOI10.1515/snde-2013-0061zbMath1506.62483OpenAlexW2026581802MaRDI QIDQ2687862

Alessia Paccagnini, Stelios D. Bekiros

Publication date: 7 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2013-0061

zbMATH Keywords

density forecastingreal-time datamarginal data densityfactor augmented DSGE (DSGE-FAVAR)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Economic time series analysis (91B84) Dynamic stochastic general equilibrium theory (91B51)

Related Items

Macroeconomic uncertainty and forecasting macroeconomic aggregates

Uses Software

• Gensys

Cites Work

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