Creator: Muench, Thomas J., Rolnick, Arthur J., 1944-, Wallace, Neil, and Weiler, William Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 019 Abstract:
Prediction interval tests are applied to the reduced forms of two quarterly models of the U.S. (the "old" FRB-MIT model and the Michigan model). The results illustrate the range of tests one can perform on an estimated simultaneous equation model. In particular, the tests determine whether ex post forecast errors can be attributed to structural deficiencies of the models. The paper examines confidence regions and other aspects of forecast distributions-comparisons between mean forecasts and nonstochastic forecasts, comparisons between, forecast variances from multiperiod endogenous simulations and those from one period simulations, and comparisons between forecast variances and residual variances.
Keyword: Monte Carlo experiment, Michigan quarterly model, and FRB-MIT quarterly model Subject (JEL): C53 - Forecasting Models; Simulation Methods, C52 - Model Evaluation, Validation, and Selection, and C30 - Multiple or Simultaneous Equation Models; Multiple Variables: General
Creator: Kareken, John H., Muench, Thomas J., and Wallace, Neil Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 017 Keyword: Open market policy, Information lag, and FOMC Subject (JEL): E58 - Central Banks and Their Policies and E44 - Financial Markets and the Macroeconomy
Creator: Kareken, John H., Muench, Thomas J., Supel, Thomas M., and Wallace, Neil Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 000 Description:
This paper was published with no issue number.
Keyword: Central banks and Monetary policy Subject (JEL): E52 - Monetary Policy