Keith Sill

Federal Reserve Bank of Philadelphia
10 Independence Mall
Philadelphia, PA 19106-1574

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
Institutional Affiliation: Federal Reserve Bank of Philadelphia

NBER Working Papers and Publications

April 2009DSGE Model-Based Forecasting of Non-modelled Variables
with Frank Schorfheide, Maxym Kryshko: w14872
This paper develops and illustrates a simple method to generate a DSGE model-based forecast for variables that do not explicitly appear in the model (non-core variables). We use auxiliary regressions that resemble measurement equations in a dynamic factor model to link the non-core variables to the state variables of the DSGE model. Predictions for the non-core variables are obtained by applying their measurement equations to DSGE model-generated forecasts of the state variables. Using a medium-scale New Keynesian DSGE model, we apply our approach to generate and evaluate recursive forecasts for PCE inflation, core PCE inflation, the unemployment rate, and housing starts along with predictions for the seven variables that have been used to estimate the DSGE model.

Published: Schorfheide, Frank & Sill, Keith & Kryshko, Maxym, 2010. "DSGE model-based forecasting of non-modelled variables," International Journal of Forecasting, Elsevier, vol. 26(2), pages 348-373, April. citation courtesy of

National Bureau of Economic Research
1050 Massachusetts Ave.
Cambridge, MA 02138

Twitter RSS

View Full Site: One timeAlways