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.
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In-sample prediction
by luishb » Tue Jun 06, 2017 12:58 pm
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Re: In-sample prediction
by jpfeifer » Wed Jun 07, 2017 6:30 am
When you say
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.
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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.
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Re: In-sample prediction
by luishb » Wed Jun 07, 2017 7:47 am
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
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
- luishb
- Posts: 3
- Joined: Sun May 07, 2017 3:46 pm
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