An evaluation of the forecast performance of DSGE and VAR Models: The case of a developing country

An evaluation of the forecast performance of DSGE and VAR Models: The case of a developing country

This paper estimates a DSGE model and three versions of VAR models (VARX, BVARX and BVAR) to analyze forecasting performance of these models in context of Pakistan. VAR models and a medium-scale DSGE model are estimated using quarterly data (1980Q4-2017Q2). Expanding window recursive out-of-sample f...

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Bibliographic Details
Main Authors: Shahzad Ahmad, Adnan Haider
Format: Article
Language:English
Published: Institute of Business Administration 2019-06-01
Series:Business Review
Subjects:
forecasting
dsge models
var models
pakistan
Online Access:https://ir.iba.edu.pk/businessreview/vol14/iss1/3/

Internet

https://ir.iba.edu.pk/businessreview/vol14/iss1/3/

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