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Economic forecasting with multiequation simulation models

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  • Calvin Price

    (MUFG Bank)

Abstract

Capturing interdependencies among many variables is a crucial part of economic forecasting. We show how multiple estimated equations can be solved simultaneously with the Stata forecast command and how to simulate the system through time to produce forecasts. This can be combined with user-defined exogenous variables, so that different assumptions can be used to create forecasts under different scenarios. Techniques for assessing the quality of both ex post and ex ante forecasts are shown, along with a simple example model of the U.S. economy.

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  • Calvin Price, 2020. "Economic forecasting with multiequation simulation models," 2020 Stata Conference 5, Stata Users Group.
    • Handle: RePEc:boc:scon20:5
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