Forecasting with DSGE Models

@inproceedings{Christoffel2010ForecastingWD,
  title={Forecasting with DSGE Models},
  author={Kai Christoffel and G{\"u}nter Coenen and Anders Warne},
  year={2010}
}
In this paper we review the methodology of forecasting with log-linearised DSGE models using Bayesian methods. We focus on the estimation of their predictive distributions, with special attention being paid to the mean and the covariance matrix of h-steps ahead forecasts. In the empirical analysis, we examine the forecasting performance of the New Area-Wide Model (NAWM) that has been designed for use in the macroeconomic projections at the European Central Bank. The forecast sample covers the… CONTINUE READING
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