TY  - JOUR
AU  - Schorfheide,Frank
AU  - Sill,Keith
AU  - Kryshko,Maxym
TI  - DSGE Model-Based Forecasting of Non-modelled Variables
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 14872
PY  - 2009
Y2  - April 2009
UR  - http://www.nber.org/papers/w14872
L1  - http://www.nber.org/papers/w14872.pdf
N1  - Author contact info:
Frank Schorfheide
University of Pennsylvania
Department of Economics
3718 Locust Walk
McNeil 525
Philadelphia, PA 19104-6297
Tel: 215/898-8486
Fax: 215/573-2057
E-Mail: schorf@ssc.upenn.edu

Keith Sill
Federal Reserve Bank of Philadelphia
10 Independence Mall
Philadelphia, PA 19106-1574
E-Mail: keith.sill@phil.frb.org

Maxym Kryshko
University of Pennsylvania
Department of Economics
3718 Locust Walk
Philadelphia, PA 19104-6297
E-Mail: mkryshko@sas.upenn.edu
AB  - This paper develops and illustrates a simple method to generate a DSGE model-based forecast for variables that do not explicitly appear in the model (non-core variables). We use auxiliary regressions that resemble measurement equations in a dynamic factor model to link the non-core variables to the state variables of the DSGE model. Predictions for the non-core variables are obtained by applying their measurement equations to DSGE model-generated forecasts of the state variables. Using a medium-scale New Keynesian DSGE model, we apply our approach to generate and evaluate recursive forecasts for PCE inflation, core PCE inflation, the unemployment rate, and housing starts along with predictions for the seven variables that have been used to estimate the DSGE model.
ER  -