Marginalized Predictive Likelihood Comparisons of Linear Gaussian State‐Space Models with Applications to DSGE, DSGE‐VAR, and VAR Models
线性高斯状态空间模型的边缘化预测似然比较：DSGE、DSGE-VAR与VAR应用
Summary The predictive likelihood is useful for ranking models in forecast comparison exercises using Bayesian inference. We discuss how it can be estimated, by means of marzginalization, for any subset of the observables in linear Gaussian state‐space models. We compare macroeconomic density forecasts for the euro area of a DSGE model to those of a DSGE‐VAR, a BVAR and a multivariate random walk over 1999:Q1–2011:Q4. While the BVAR generally provides superior forecasts, its…