Forecasting using a Nonlinear DSGE Model
A medium-scale nonlinear dynamic stochastic general equilibrium (DSGE) model was estimated (54 variables, 29 state variables, 7 observed variables). The model includes an observed variable for stock market returns. The root-mean square error (RMSE) of the in-sample and out-of-sample forecasts was ca...
Main Authors: | Ivashchenko Sergey, Gupta Rangan |
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Format: | Article |
Language: | English |
Published: |
Sciendo
2018-05-01
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Series: | Journal of Central Banking Theory and Practice |
Subjects: | |
Online Access: | https://doi.org/10.2478/jcbtp-2018-0013 |
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