<abstract xmlns="http://www.w3.org/1999/xhtml"><p>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 calculated. The nonlinear DSGE model with measurement errors outperforms AR (1), VAR (1) and the linearised DSGE in terms of the quality of the out-of-sample forecasts. The nonlinear DSGE model without measurement errors is of a quality equal to that of the linearised DSGE model.</p></abstract>

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 calculated. The nonlinear DSGE model with measurement errors outperforms AR (1), VAR (1) and the linearised DSGE in terms of the quality of the out-of-sample forecasts. The nonlinear DSGE model without measurement errors is of a quality equal to that of the linearised DSGE model.

Forecasting using a Nonlinear DSGE Model

Saint Petersburg Institute for Economics and Mathematics (Russian Academy of Sciences); Faculty of Economics

Saint-Petersburg State University; National Research University Higher School of Economics

Journal of Central Banking Theory and Practice

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

{"article-title":"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...

Forecasting using a Nonlinear DSGE Model

Online veröffentlicht: 14. Mai 2018

Seitenbereich: 73 - 98

Eingereicht: 04. Juli 2017

Akzeptiert: 06. Okt. 2017

DOI: https://doi.org/10.2478/jcbtp-2018-0013

Schlüsselwörter
Nonlinear DSGE, Quadratic Kalman Filter, Out-of-sample forecasts

© 2017 Sergey Ivashchenko et al., published by De Gruyter Open

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Forecasting using a Nonlinear DSGE Model

Online veröffentlicht: 14. Mai 2018

Seitenbereich: 73 - 98

Eingereicht: 04. Juli 2017

Akzeptiert: 06. Okt. 2017

DOI: https://doi.org/10.2478/jcbtp-2018-0013

SchlüsselwörterNonlinear DSGE, Quadratic Kalman Filter, Out-of-sample forecasts

© 2017 Sergey Ivashchenko et al., published by De Gruyter Open

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Schlüsselwörter
Nonlinear DSGE, Quadratic Kalman Filter, Out-of-sample forecasts