DSGE Models in Stata (8): Forecast Tutorial

DSGE Models in Stata (8): Forecast Tutorial. In this video I teach you how to estimate DSGE Models in Stata. This is video number 8 of my DSGE models course. Ensure to read the DSGE Course outline.

Summary:
We have already learnt how to solve by hand an RBC model and write the dynamic equations in Stata. Next, we learnt how to calculate the steady state, impulse response functions and variance covariance matrix. Now it is time to produce a Forecast and review the model performance.

DSGE Models In stata - Forecast command:

You can only forecast observed variables. Stata will be able to produce an out of sample forecast for the dependant variable (observed GDP), but cannot produce forecasts for the non observed control variables.

To Review the DSGE model performance, we compare data moments between the real data and the benchmark RBC model. In other words, we compare the standad deviation, relative standard deviation and correlation. If the values are close, the model can replicate the moments satisfactorily.

Are you ready? Let's get into it!

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*** IMPORTANT: The present video is class number 7 of my free DSGE course. In this course I teach you how to solve a real business model step by step and write the dynamic equations in the software. Finally, we compute the steady state, impulse response functions and out of sample forecast**
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🕘 Timestamps:
🎬 In this video the following analysis is performed:
👋 Introduction 0:00
📊 DSGE Model Performance 0:44
📊 DSGE Model 1 step ahead prediction 4:16
📊 DSGE Forecast 5:48
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