TY  - RPRT
A1  - Wolters, Maik Hendrik
T1  - Evaluating point and density forecasts of DSGE models : [Version 23 Januar 2012]
N2  - This paper investigates the accuracy of point and density forecasts of four DSGE models for inflation, output growth and the federal funds rate. Model parameters are estimated and forecasts are derived successively from historical U.S. data vintages synchronized with the Fed’s Greenbook projections. Point forecasts of some models are of similar accuracy as the forecasts of nonstructural large dataset methods. Despite their common underlying New Keynesian modeling philosophy, forecasts of different DSGE models turn out to be quite distinct. Weighted forecasts are more precise than forecasts from individual models. The accuracy of a simple average of DSGE model forecasts is comparable to Greenbook projections for medium term horizons. Comparing density forecasts of DSGE models with the actual distribution of observations shows that the models overestimate uncertainty around point forecasts.
KW  - DSGE models
KW  - forecasting
KW  - model uncertainty
KW  - forecast combination
KW  - density forecasts
KW  - real-time data
KW  - Greenbook
Y1  - 2012
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/34398
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-343984
UR  - http://ssrn.com/abstract=1639365
IS  - Version 23 Januar 2012
ER  -