Discussion of ``A Benchmark for Models of Growth and Inflation'' by M. Marcellino

New developments in economic forecasting8th Bundesbank Spring ConferenceEltville, 5-6 May 2006Todd Clark: Discussion of „A benchmark for models ofgrowth and inflation“By Massimiliano Marcellinohttp://www.bundesbank.deDiscussion of “A Benchmark for Models ofGrowth and Inflation” by M. Marcellino1Todd Clark1Federal Reserve Bank of Kansas CityMay 4, 2006Paper summaryMotivation: Models with economic content are often judged bytheir forecasting performance relative to simple univariatebenchmark models.example: Smets–Wouters modelgood GDP benchmark: AR inΔlny, estimated with allavailable datagood inflation benchmark: AR inπ orΔπ, estimated withall available datarandom walk in inflationMA in the change in inflation, estimated with a rollingsample (Stock and Watson (2005))Paper summaryMotivation: Models with economic content are often judged bytheir forecasting performance relative to simple univariatebenchmark models.example: Smets–Wouters modelgood GDP benchmark: AR inΔlny, estimated with allavailable datagood inflation benchmark: AR inπ orΔπ, estimated withall available datarandom walk in inflationMA in the change in inflation, estimated with a rollingsample (Stock and Watson (2005))Paper summaryMotivation: Models with economic content are often judged bytheir forecasting performance relative to simple univariatebenchmark models.example: Smets–Wouters modelgood GDP benchmark: AR inΔlny, estimated with allavailable datagood inflation ...