In-sample prediction
Posted:
Tue Jun 06, 2017 12:58 pmby luishb
Hello, I am trying to carry out an in sample-prediction analysis for a DSGE model but I am not sure if I am considering the correct output.
I am using the oo_.FilteredVariables.Mean in order to obtain the Forecast error. Is this correct?
Thank you in advance.
Re: In-sample prediction
Posted:
Wed Jun 07, 2017 6:30 amby jpfeifer
When you say
- Code: Select all
in sample-prediction analysis
what is the information set you have in mind? The filtered variables contain the forecast of t+1, given the information up to time t.
Re: In-sample prediction
Posted:
Wed Jun 07, 2017 7:47 amby luishb
Primarily, thank you for the answer.
What I want to get is the the difference between the data generated by the model and the actual data in order to compute the bias. Therefore I guess I just have to subtract from the actual data the filtered variables.
Thank you again