摘要翻译:
本文研究了DSGE模型的预测信息是否包含在模型中广泛使用的滞后值所包含的信息之外。对四套预测进行了检验。对于DSGE对实际GDP的预测来说,这一结果令人鼓舞。结果表明,DSGE预报中存在仅基于滞后值的预报所不包含的信息,而滞后值预报中没有DSGE预报所不包含的信息。对GDP平减指数的预测则恰恰相反。关键词:DSGE预报,滞后值JEL分类代码:E10,E17,C53
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英文标题:
《Information Content of DSGE Forecasts》
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作者:
Ray Fair
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最新提交年份:
2018
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分类信息:
一级分类:Economics 经济学
二级分类:General Economics 一般经济学
分类描述:General methodological, applied, and empirical contributions to economics.
对经济学的一般方法、应用和经验贡献。
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一级分类:Quantitative Finance 数量金融学
二级分类:Economics 经济学
分类描述:q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学,包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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英文摘要:
This paper examines the question whether information is contained in forecasts from DSGE models beyond that contained in lagged values, which are extensively used in the models. Four sets of forecasts are examined. The results are encouraging for DSGE forecasts of real GDP. The results suggest that there is information in the DSGE forecasts not contained in forecasts based only on lagged values and that there is no information in the lagged-value forecasts not contained in the DSGE forecasts. The opposite is true for forecasts of the GDP deflator. Keywords: DSGE forecasts, Lagged values JEL Classification Codes: E10, E17, C53
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PDF链接:
https://arxiv.org/pdf/1808.02910