Forecasting Performance of an Open Economy DSGE Model

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QUEST III: An Estimated Open-Economy DSGE Model of the Euro Area with Fiscal and Monetary Policy (2009, methodology): “Also, various papers by Adolfson et al. (2007) have documented a satisfactory forecasting performance when ☆ We have benefited from helpful comments by Bernhard Herz, Lorenzo Forni, our colleagues at DG ECFIN and JRC and other participants at the CEF 2006 conference in Limassol, Cyprus, the…”
Bayesian VARs : specification choices and forecast accuracy (2011, unknown): “The overall calibration of the density forecasts can be measured with log predictive density scores, motivated and described in Geweke and Amisano (2010), for example.3 At each forecast origin, we compute the log predictive score using the quadratic approximation of Adolfson et al. (2007).”
Sparse Bayesian time-varying covariance estimation in many dimensions (2016, methodology): “Consequently, it is frequently used instead of the actual LPS in high dimensions while still allowing for evaluation of the covariance accuracy (Adolfson et al. 2007; Carriero et al. 2016; Huber 2016).”
Common Drifting Volatility in Large Bayesian VARs (2012, methodology): “In the model with an AR(1) process for volatility, we set the AR(1) coe¢ cient at 0.”
Forecasting with DSGE Models (2010, unknown): “Similarly, the study by Adolfson, Lindé, and Villani (2007) shows that also open-economy DSGE models can compete well with reduced-form models.”