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Combining VAR and DSGE forecast densities
16 references·1 citing·46 second hop
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References

  • 2007Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach4,628 cited
  • 1969The Combination of Forecasts3,194 cited
  • 1998Evaluating Density Forecasts with Applications to Financial Risk Management1,452 cited
  • 2013Handbook of Economic Forecasting1,216 cited
  • 2004Combination forecasts of output growth in a seven‐country data set1,138 cited
  • 1986Combining Probability Distributions: A Critique and an Annotated Bibliography1,007 cited
  • 2001Testing Density Forecasts, With Applications to Risk Management859 cited
  • 2008The Time-Varying Volatility of Macroeconomic Fluctuations844 cited
  • 2005A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series808 cited
  • 2004Priors from General Equilibrium Models for VARS*539 cited
  • 2007Comparing Density Forecasts via Weighted Likelihood Ratio Tests519 cited
  • 2007Estimating Macroeconomic Models: A Likelihood Approach513 cited
  • 2007On the Fit of New Keynesian Models509 cited
  • 2010Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility423 cited
  • 2007Evaluating an estimated new Keynesian small open economy model

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379 cited
  • 1977Combining Expert Judgments: A Bayesian Approach350 cited
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    • 2013Density Nowcasts and Model Combination: Nowcasting Euro‐Area GDP Growth over the 2008–09 Recession*37 cited