Document Type
Discussion Paper
Publication Date
8-1-2018
CFDP Number
2140
CFDP Pages
17
Journal of Economic Literature (JEL) Code(s)
E10, E17, C53
Abstract
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.
Recommended Citation
Fair, Ray C., "Information Content of DSGE Forecasts" (2018). Cowles Foundation Discussion Papers. 127.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/127