Macroeconomic forecasting in the euro area using predictive combinations of DSGE models
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F23%3A00134014" target="_blank" >RIV/00216224:14560/23:00134014 - isvavai.cz</a>
Result on the web
<a href="https://www.sciencedirect.com/science/article/pii/S0169207022001224" target="_blank" >https://www.sciencedirect.com/science/article/pii/S0169207022001224</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.ijforecast.2022.09.002" target="_blank" >10.1016/j.ijforecast.2022.09.002</a>
Alternative languages
Result language
angličtina
Original language name
Macroeconomic forecasting in the euro area using predictive combinations of DSGE models
Original language description
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.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50202 - Applied Economics, Econometrics
Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2023
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
INTERNATIONAL JOURNAL OF FORECASTING
ISSN
0169-2070
e-ISSN
1872-8200
Volume of the periodical
39
Issue of the periodical within the volume
4
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
19
Pages from-to
1820
UT code for WoS article
001075115800001
EID of the result in the Scopus database
2-s2.0-85140587829