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Updating Wilkie’s economic scenario generator for U.S. applications. (English) Zbl 1411.91415

Summary: The Wilkie economic scenario generator has had a significant influence on economic scenario generators since the first formal publication in 1986 by Wilkie. In this article we update the model parameters using U.S. data to 2014, and review the model performance. In particular, we consider stationarity assumptions, parameter stability, and structural breaks.

MSC:

91B64 Macroeconomic theory (monetary models, models of taxation)
91G30 Interest rates, asset pricing, etc. (stochastic models)
91G50 Corporate finance (dividends, real options, etc.)

Software:

YUIMA; astsa
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References:

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