Data revisions and DSGE models

DOI10.1016/j.jeconom.2016.09.006zbMath1443.62449OpenAlexW3121509333MaRDI QIDQ341910

Ana Beatriz C. Galvão

Publication date: 17 November 2016

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

Full work available at URL: http://wrap.warwick.ac.uk/81777/7/WRAP-Data-revisions-DSGE-models-Galvao-2016.pdf

zbMATH Keywords

forecastingdata revisionsvariance decompositionmedium-sized DSGE models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Dynamic stochastic general equilibrium theory (91B51)

Cites Work

• Unnamed Item
• Adaptive proposal distribution for random walk Metropolis algorithm
• Evaluating DSGE model forecasts of comovements
• Modeling data revisions: measurement error and dynamics of ``true values
• A method for taking models to the data
• Methods to estimate dynamic stochastic general equilibrium models
• Bayesian Estimation of DSGE Models
• Tests of Conditional Predictive Ability

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