Abstract
A medium-scale nonlinear DSGE model is estimated (54 variables, 29 state variables, 7 observed variables). The model includes stock market. RMSE of in sample and out of sample forecasts are calculated. The nonlinear DSGE model with measurement errors outperform AR(1), VAR(1), linearized DSGE in terms of out of sample forecasts quality. The nonlinear DSGE model without measurement errors has actually equal quality with linearized DSGE model.
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