forecast.dsge_fit: Forecast from a Fitted DSGE Model

In dsge: Dynamic Stochastic General Equilibrium Models

Forecast from a Fitted DSGE Model

Description

Produces dynamic multi-step forecasts from a fitted DSGE model. Forecasts are generated by iterating the state-space solution forward from the last filtered state, with forecast-error variance computed analytically by iterating the state covariance.

Usage

## S3 method for class 'dsge_fit'
forecast(object, horizon = 12L, ...)

Arguments

object	A dsge_fit object.
horizon	Integer. Number of periods to forecast ahead. Default is 12.
...	Additional arguments (currently unused).

Value

An object of class "dsge_forecast" containing:

forecasts

Data frame with columns period, variable, value, and sd (one-step forecast standard deviation at each horizon). Use ⁠value +/- qnorm(0.5+level/2)*sd⁠ to construct a confidence band at any level.

horizon

The forecast horizon.

states

Matrix of forecasted state vectors.

obs_matrix

Forecast point estimates in matrix form.

obs_sd

Matrix of forecast standard deviations (same shape as obs_matrix).

history

Matrix of in-sample observed data (un-demeaned) for use in plotting forecasts alongside history.

dsge documentation built on Sept. 25, 2026, 5:08 p.m.