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Gianni Amisano
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Journal Articles
Publisher: Journals Gateway
The Review of Economics and Statistics (2017) 99 (5): 912–925.
Published: 01 December 2017
Abstract
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We establish methods that improve the predictions of macroeconometric models—dynamic factor models, dynamic stochastic general equilibrium models, and vector autoregressions—using a quarterly U.S. data set. We measure prediction quality with one-step-ahead probability densities assigned in real time. Two steps lead to substantial improvements: (a) the use of full Bayesian predictive distributions rather than conditioning on the posterior mode for parameters and (b) the use of an equally weighted pool.
Includes: Supplementary data