文章基本信息

标题：Prediction using several macroeconomic models
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作者：Gianni Amisano ; John Geweke
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2013
出版社：European Central Bank
摘要：Prediction of macroeconomic aggregates is one of the primary functions of macroeconometric models, including dynamic factor models, dynamic stochastic general equilibrium models, and vector autoregressions. This study establishes methods that improve the predictions of these models, using a representative model from each class and a canonical 7-variable postwar US data set. It focuses on pre- diction over the period 1966 through 2011. It measures the quality of prediction by the probability densities assigned to the actual values of these variables, one quarter ahead, by the predictive distributions of the models in real time. Two steps lead to substantial improvement. The rst is to use full Bayesian predictive distributions rather than substitute a plug-in posterior mode for parameters. Across models and quarters, this leads to a mean improvement in probability of 50.4%. The second is to use an equally-weighted pool of predictive densities from the three models, which leads to a mean improvement in probability of 41.9% over the full Bayesian predictive distributions of the individual models. This im- provement is much better than that a¤orded by Bayesian model averaging. The study uses several analytical tools, including pooling, analysis of predictive vari- ance, and probability integral transform tests, to understand and interpret the improvements.
关键词：Analysis of variance; Bayesian model averaging; dynamic factor model; dynamic;stochastic general equilibrium model; prediction pools; probability integral transform test; vector;autoregression model