Structural Models in Real Time

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.
Publication date: March 2010
ISBN: 9781451963625
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Inflation , High frequency indicators , inflation , equation , prediction , equations

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