Risultati della ricerca
Creator: Litterman, Robert B. and Sargent, Thomas J. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 125 Parola chiave: Vector autoregression, Natural rate hypothesis, and Estimation Soggetto: C53 - Forecasting Models; Simulation Methods, C51 - Model Construction and Estimation, and C43 - Index Numbers and Aggregation; Leading indicators
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.
Parola chiave: Michigan quarterly model, FRB-MIT quarterly model, and Monte Carlo experiment Soggetto: C53 - Forecasting Models; Simulation Methods, C52 - Model Evaluation, Validation, and Selection, and C30 - Multiple or Simultaneous Equation Models; Multiple Variables: General
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.
Parola chiave: Multiperiod forecasting, MIT-Penn-SSRC model, MIT-Penn-MPS model, and Prediction Soggetto: C53 - Forecasting Models; Simulation Methods and C52 - Model Evaluation, Validation, and Selection
Creator: Anderson, Paul A. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 061 Abstract:
This paper puts forward a method for simulating an existing macroeconometric model while maintaining the additional assumption that individuals form their expectations rationally. This simulation technique is a first response to Lucas' criticism that standard econometric policy evaluation allows policy rules to change but doesn't allow expectations rules to change as economic theory predicts they will. The technique is applied to a version of the St. Louis Federal Reserve Model with interesting results. The rational expectations version of the St. Louis Model exhibits the same neutrality with respect to certain policy rules as small, analytic rational expectations models considered by Lucas, Sargent, and Wallace.
Parola chiave: Rational expectations theory, Forecasting, and Simulation Soggetto: C53 - Forecasting Models; Simulation Methods