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Re: Forecasting in Dynare

PostPosted: Sat Apr 11, 2015 4:28 am
by Grant
Dear Jpfeifer,

Here attached the log file.

Thanks for your help.

Regards,

Re: Forecasting in Dynare

PostPosted: Sat Apr 11, 2015 7:00 am
by jpfeifer
I found the source of the problem. It has been fixed in the unstable version from 04/15/15

Re: Forecasting in Dynare

PostPosted: Mon Jun 22, 2015 1:14 pm
by Ravelomanana
After running an estimation and use the forecast option I get two different results related to the forecasting. So this is my question:
What is the difference between mean and point forecast?

Re: Forecasting in Dynare

PostPosted: Thu Jun 25, 2015 6:02 pm
by jpfeifer
Take a look at Pfeifer (2014): An Introduction to Graphs in Dynare at https://sites.google.com/site/pfeiferecon/Pfeifer_2014_Dynare_graphs.pdf
The point forecast is the forecast that does not take the potential occurrence of future shocks into account:
The mean forecasts only take the parameter
uncertainty into account, but omit the uncertainty about future shocks. Future shocks are
averaged out/set to 0.

In contrast to the mean forecasts,
the points forecast not only take the parameter uncertainty into account, but also take into
consideration the uncertainty about future shocks.