ACADEMIE UNIVERSITAIRE WALLONIE‐BRUXELLES
FACULTE DES SCIENCES SOCIALES ET POLITIQUES/
SOLVAY BRUSSELS SCHOOL OF ECONOMICS AND MANAGEMENT
Département de la Solvay Brussels School of Economics and Management
«Structural Models for Macroeconomics and Forecasting»
Dissertation présenté en vue de l’obtention du grade de Docteur en Sciences économiques et de gestion
par
David de Antonio Liedo
Sous la direction du Professeur Lucrezia Reichlin et la co-direction du Professeur Christine De Mol
II
Contents
Acknowledgements ...V Introduction ...VII
A Model for Real-Time Data
Assessment with an Application to GDP growth Rates... 1
Introduction ...2
Revisions of Real Output Growth in the US and Germany...5
A Simple Model of Real-Time Data Publication ...7
Some Intuition: A Statistical Agency in a World without Temporal Dependency ...8
The Data Publication Process...10
Vintage Prediction and Data Uncertainty...13
Estimation of the DPP Parameters ...17
Empirical Examples...19
A Model of Data Publication when the Data are Temporally Dependent...23
A Statistical Agency That Takes Temporal Dependency into Account 24 A Generalized Data Publication Process...25
Some Implications for Prediction...26
Estimation...26
Conclusion...29
Appendix A. The Standard Regression Approach to Noise versus News in Real-Time Data ...33
Appendix B. Proof of the Independence from 1 ...29
Revisiting the RBC Success An Out-of-Sample Perspective... 49
Introduction ...50
The Set of Models and their Implied Restrictions...53
A Prototypical Business Cycle Model...53 III
VARs ...55
Dynamic Factor Models ...56
RBC-DFM Mapping...58
Evaluating the fit of RBC, DFM and VARs: An Out-of-Sample Perspective ..60
A Forecasting Competition...63
Our Simple RBC Model at Forecasting...64
The Importance of Rank Reduction Restrictions ...65
Robustness: Model Confidence Sets ...70
Conclusions ...75
Appendix A. Estimation Results: Comparing the RBC Model with the Dynamic Factor Model with r=2 and q=1...83
What are Shocks Capturing in DSGE Modeling? Structure versus Misspecification... 90
Introduction ...91
Identification of Structural Shocks and Frictions...95
Methodology...95
The Identification Problem: Noise versus Structure...98
On the DSGE shocks ...99
Typical Structural Shocks in DSGE Modeling ...100
Empirical Results...103
Implications for the Natural Output Gap...114
Conclusions ...119
Appendix A. The DSGE model log-linearized around the steady-state balanced growth path...125
Appendix B. Estimation Results ...132
Appendix C. Variance Decomposition ...138
Appendix D. Impulse Response Functions ...145
Appendix E. Natural Output Gap...152
Appendix F. Convergence...155 IV
