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DGSE model evaluation and hybrid models : a comparison

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1830-7728
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EUI MWP; 2011/11
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PACCAGNINI, Alessia, DGSE model evaluation and hybrid models : a comparison, EUI MWP, 2011/11 - https://hdl.handle.net/1814/18136
Abstract
This paper discusses the estimation of Dynamic Stochastic General Equilibrium (DSGE) models using hybrid models. These econometric tools provide the combination of an atheoretical statistical representation and the theoretical features of the DSGE model. A review of hybrid models presents the main aspects of these tools and why they are needed in the recent macroeconometric literature. Some of these models are compared to classical econometrics models (such as Vector Autoregressive (VAR), Factor Augmented VAR and Bayesian VAR) in a forecasting exercise.
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