nep-for 2009-04-13 papers

on Forecasting

Issue of 2009‒04‒13
two papers chosen by
Rob J Hyndman
Monash University

DSGE Model-Based Forecasting of Non-modelled Variables By Frank Schorfheide; Keith Sill; Maxym Kryshko
Determinants of Bilateral Immigration Flows Between The European Union and some Mediterranean Partner Countries: Algeria, Egypt, Morocco, Tunisia and Turkey By de Arce, Rafael; Mahia, Ramon

DSGE Model-Based Forecasting of Non-modelled Variables

By:	Frank Schorfheide; Keith Sill; Maxym Kryshko
Abstract:	This paper develops and illustrates a simple method to generate a DSGE model-based forecast for variables that do not explicitly appear in the model (non-core variables). We use auxiliary regressions that resemble measurement equations in a dynamic factor model to link the non-core variables to the state variables of the DSGE model. Predictions for the non-core variables are obtained by applying their measurement equations to DSGE model-generated forecasts of the state variables. Using a medium-scale New Keynesian DSGE model, we apply our approach to generate and evaluate recursive forecasts for PCE inflation, core PCE inflation, the unemployment rate, and housing starts along with predictions for the seven variables that have been used to estimate the DSGE model.
JEL:	C11 C32 C53 E27 E47
Date:	2009–04
URL:	http://d.repec.org/n?u=RePEc:nbr:nberwo:14872&r=for

Determinants of Bilateral Immigration Flows Between The European Union and some Mediterranean Partner Countries: Algeria, Egypt, Morocco, Tunisia and Turkey

By:	de Arce, Rafael; Mahia, Ramon
Abstract:	In this paper one survey of econometrics modelling about migration flows determinants is carried out, with an extensive critical review of variables and methods used in recent literature. After it, a rigorous model to forecast migrations flows from Morocco, Algeria, Tunisia, Egypt and Turkey to EU is developed. The weight of network effects and potential migration in origin countries is pointed out and 15 years of forecast horizon is drawn.
Keywords:	migration determinants; migration econometric models; migration flows; EU-MPC migration
JEL:	F22 C23
Date:	2008–07
URL:	http://d.repec.org/n?u=RePEc:pra:mprapa:14547&r=for

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