Economists outline improved DSGE forecasting method
Multi-step approach improves performance, authors say
Researchers at the Bank of England (BoE) and King's College London have developed a new approach to forecasting using dynamic stochastic general equilibrium (DSGE) models, delivering "significant" improvements in many cases.
In their working paper, published on November 20, George Kapetanios of King's and Simon Price and Konstantinos Theodoridis of the BoE focus on a "multi-step" approach to estimating the model's parameters.
The authors note that for forecasting using DSGE models, parameters
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