The Review of Economics and Statistics Vol. 99 No. 5 2017
Prediction Using Several Macroeconomic Models
Abstract
We establish methods that improve the predictions of macroeconometric models—dynamic factor models, dynamic stochastic general equilibrium models, and vector autoregressions—using a quarterly U.S. data set. We measure prediction quality with one-step-ahead probability densities assigned in real time. Two steps lead to substantial improvements: (a) the use of full Bayesian predictive distributions rather than conditioning on the posterior mode for parameters and (b) the use of an equally weighted pool.
- DOI
- 10.1162/rest_a_00655
- Volume
- 99
- Issue
- 5
- Pages
- 912-925
- Language
- en
- Sources
- openalex crossref