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Structural Models in Real Time

Author/Editor: Benes, Jaromir | Clinton, Kevin | Johnson, Marianne | Laxton, Douglas | Matheson, Troy
Authorized for Distribution: March 1, 2010
Electronic Access: Free Full Text (PDF file size is 849KB)
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Disclaimer: This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate.

Summary: 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.
 
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Series: Working Paper No. 10/56
Subject(s): Economic forecasting | Economic indicators | Economic models | Monetary policy
Author's keyword(s): High frequency indicators | Monetary Policy | Forecasting
 
English  
    Published:   March 1, 2010        
            Format:   Paper
    Stock No:   WPIEA2010056   Pages:   35
    Price:   US$18.00 (Academic Rate: US$18.00 )
       
     
Please address any questions about this title to publications@imf.org.