In-sample prediction

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In-sample prediction

Postby luishb » Tue Jun 06, 2017 12:58 pm

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.
luishb
 
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Re: In-sample prediction

Postby jpfeifer » Wed Jun 07, 2017 6:30 am

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.
------------
Johannes Pfeifer
University of Cologne
https://sites.google.com/site/pfeiferecon/
jpfeifer
 
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Re: In-sample prediction

Postby 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
luishb
 
Posts: 3
Joined: Sun May 07, 2017 3:46 pm


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