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"Information Content of DSGE Forecasts,"
Journal of Forecasting, 2019, 1-6.
published article, pdf file.
This paper examines the question whether information is contained in
forecasts from DSGE models beyond that contained in lagged values, which
are extensively used in the models.
Four sets of forecasts are examined. The results
are encouraging for DSGE forecasts of real GDP. The results suggest that
there is information in the DSGE forecasts not contained in forecasts based only
on lagged values and that there is no information in the lagged-value
forecasts not contained in the DSGE forecasts. The opposite is true
for forecasts of the GDP deflator.