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MIT-Penn-MPS model
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C52 - Model Evaluation, Validation, and Selection
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Creator: Anderson, Paul A. and Supel, Thomas M. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 039 Abstract: This paper puts forward a method for improving the forecasting accuracy of an existing macroeconometric model without changing its policy response characteristics. The procedure is an extension and formalization of the practice of additive adjustments currently used by most forecasters. The method should be of special interest to forecasters who use models built by other investigators because it does not involve reestimation of the original model and uses only information routinely included in the documentation available to model users. The paper ends with a demonstration of the prediction improvement realized by application of this method to a version of the MIT-Penn-SSRC (MPS) model.
Keyword: Multiperiod forecasting, MIT-Penn-SSRC model, MIT-Penn-MPS model, and Prediction Subject (JEL): C53 - Forecasting Models; Simulation Methods and C52 - Model Evaluation, Validation, and Selection