The in-sample forecasting performace of New Keynesian small scale DSGE models comparison for Polish economy
DOI:
https://doi.org/10.18778/1429-3730.35.04Keywords:
DSGE model, Bayesian estimation, forecast comparisonAbstract
This paper compares the in-sample forecasting performance of the new Keynesian small scale DSGE models. The comparison includes the standard sticky prices model and sticky prices and wages model of Erceg, Henderson and Levin. VAR models are used as the baseline. Comparison of forecasting errors has shown that Erceg, Henderson and Levin’s model is characterized by better forecasting performance than the sticky prices model with respect to inflation, production and real wages. Moreover, it better predicts inflation than the VAR models.
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