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: | , |
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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 |