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Title: Forecasting Canadian Time Series with the New-Keynesian Model
Authors: Dib, Ali
Gammoudi, Mohamed
Moran, Kevin
Keywords: New Keynesian Model
Forecasting model
Issue Date: 2005-09
Series/Report no.: Cahiers du CIRPÉE;05-27
Abstract: This paper documents the out-of-sample forecasting accuracy of the New Keynesian Model for Canada. We repeatedly estimate our variant of the model on a series of rolling subsamples, forecasting out-of-sample one to eight quarters ahead at each step. We then compare these forecasts to those arising from simple VARs, using econometric tests of forecasting accuracy. Our results show that the forecasting accuracy of the New Keynesian model compares favourably to that of the benchmarks, particularly as the forecasting horizon increases. These results suggest that the model can become a useful forecasting tool for Canadian time series. The principle of parsimony is invoked to explain our findings.
URI: http://132.203.59.36/CIRPEE/cahierscirpee/2005/files/CIRPEE05-27.pdf
https://depot.erudit.org/id/002035dd
Appears in Collections:Cahiers de recherche du CIRPÉE

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