Structural Models in Real Time
36 Pages Posted: 15 Mar 2010
Date Written: March 2010
This paper outlines a simple approach for incorporating extraneous predictions into structural models. The method allows the forecaster to combine predictions derived from any source in a way that is consistent with the underlying structure of the model. The method is flexible enough that predictions can be up-weighted or down-weighted on a case-by-case basis. We illustrate the approach using a small quarterly structural and real-time data for the United States.
Keywords: Economic forecasting, Economic indicators, Economic models, Monetary policy
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