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@article{2227365,
author = {Čapek, Jan and Crespo Cuaresma, Jesús and Hauzenberger, Niko and Reichel, Vlastimil},
article_location = {NETHERLANDS},
article_number = {4},
doi = {http://dx.doi.org/10.1016/j.ijforecast.2022.09.002},
keywords = {Forecasting; Model averaging; Prediction pooling; DSGE models; Macroeconomic variables},
language = {eng},
issn = {0169-2070},
journal = {INTERNATIONAL JOURNAL OF FORECASTING},
note = {in press},
title = {Macroeconomic forecasting in the euro area using predictive combinations of DSGE models},
url = {https://www.sciencedirect.com/science/article/pii/S0169207022001224},
volume = {39},
year = {2023}
}
TY - JOUR
ID - 2227365
AU - Čapek, Jan - Crespo Cuaresma, Jesús - Hauzenberger, Niko - Reichel, Vlastimil
PY - 2023
TI - Macroeconomic forecasting in the euro area using predictive combinations of DSGE models
JF - INTERNATIONAL JOURNAL OF FORECASTING
VL - 39
IS - 4
SP - 1820
EP - 1820
PB - ELSEVIER
SN - 01692070
N1 - in press
KW - Forecasting
KW - Model averaging
KW - Prediction pooling
KW - DSGE models
KW - Macroeconomic variables
UR - https://www.sciencedirect.com/science/article/pii/S0169207022001224
N2 - We provide a comprehensive assessment of the predictive power of combinations of dynamic stochastic general equilibrium (DSGE) models for GDP growth, inflation, and the interest rate in the euro area. We employ a battery of static and dynamic pooling weights based on Bayesian model averaging principles, prediction pools, and dynamic factor representations, and entertain six different DSGE specifications and five prediction weighting schemes. Our results indicate that exploiting mixtures of DSGE models produces competitive forecasts compared to individual specifications for both point and density forecasts over the last three decades. Although these combinations do not tend to systematically achieve superior forecast performance, we find improvements for particular periods of time and variables when using prediction pooling, dynamic model averaging, and combinations of forecasts based on Bayesian predictive synthesis.
ER -
ČAPEK, Jan, Jesús CRESPO CUARESMA, Niko HAUZENBERGER and Vlastimil REICHEL. Macroeconomic forecasting in the euro area using predictive combinations of DSGE models. \textit{INTERNATIONAL JOURNAL OF FORECASTING}. NETHERLANDS: ELSEVIER, 2023, vol.~39, No~4, p.~1820-1838. ISSN~0169-2070. Available from: https://dx.doi.org/10.1016/j.ijforecast.2022.09.002.
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