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Öğe Forecasting with second-order approximations and markov-switching DSGE models(Springer, 2020) Ivashchenko, Sergey; Çekin, Semih Emre; Kotze, Kevin; Gupta, Rangan; Çekin, Semih EmreThis paper considers the out-of-sample forecasting performance of first- and second-order perturbation approximations for DSGE models that incorporate Markov-switching behaviour in the policy reaction function and the volatility of shocks. The results suggest that second-order approximations provide an improved forecasting performance in models that do not allow for regime-switching, while for the MS-DSGE models, a first-order approximation would appear to provide better out-of-sample properties. In addition, we find that over short-horizons, the MS-DSGE models provide superior forecasting results when compared to those models that do not allow for regime-switching (at both perturbation orders).
