Martinez-Martin, Jaime
[Verfasser:in]
;
Morris, Richard
[Sonstige Person, Familie und Körperschaft];
Onorante, Luca
[Sonstige Person, Familie und Körperschaft];
Piersanti, Fabio M.
[Sonstige Person, Familie und Körperschaft]
Merging Structural and Reduced-Form Models for Forecasting
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December, 2019 erstellt
Beschreibung:
The post-crisis environment has posed important challenges to standard forecasting models. In this paper, we exploit several combinations of a large-scale DSGE structural model with standard reduced-form methods such as (B)VAR (i.e. DSGE-VAR and Augmented-(B)VARDSGE methods) and assess their use for forecasting the Spanish economy. Our empirical findings suggest that: (i) the DSGE model underestimates growth of real variables due to its mean reverting properties in the context of a sample that is difficult to deal with; (ii) in spite of this, reduced-form VARs benefit from the imposition of an economic prior from the structural model; and (iii) pooling information in the form of variables extracted from the structural model with (B)VAR methods does not give rise to any relevant gain in terms of forecasting accuracy