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Combining VAR and DSGE forecast densities

Bache, Ida Wolden; Sofie Jore, Anne; Mitchell, James; Vahey, Shaun


A popular macroeconomic forecasting strategy utilizes many models to hedge against instabilities of unknown timing; see (among others) Stock and Watson (2004), Clark and McCracken (2010), and Jore et al. (2010). Existing studies of this forecasting strategy exclude dynamic stochastic general equilibrium (DSGE) models, despite the widespread use of these models by monetary policymakers. In this paper, we use the linear opinion pool to combine inflation forecast densities from many vector...[Show more]

CollectionsANU Research Publications
Date published: 2011
Type: Journal article
Source: Journal of Economic Dynamics and Control
DOI: 10.1016/j.jedc.2011.04.006


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