A0667
Title: DGSE models with expectations correction: Misspecification, forecasting errors and directional accuracy
Authors: Mauro Costantini - University of L'aquila (Italy) [presenting]
Giovanni Angelini - University of Bologna (Italy)
Abstract: The forecasting performance of small-scale New-Keynesian models with expectations correction is considered. These models are designed to reduce miss-specification. A comprehensive comparative forecasting evaluation of different specifications through a Monte Carlo analysis is offered, so to establish whether DSGE models with expectations correction perform better than other macro structural models. Further, an empirical application, based on frequentist estimation of DSGE models with expectations correction for the US data, is provided.
