We propose a method for modifying a given density forecast in a way that incorporates the information contained in theory-based moment conditions. An example is ‘improving’ the forecasts from atheoretical econometric models, such as factor models or Bayesian VARs, by ensuring that they satisfy theoretical restrictions given for example by Euler equations or Taylor rules. The method yields a new density (and thus point-) forecast which has a simple and convenient analytical expression and which by construction satisfies the theoretical restrictions. The method is flexible and can be used in the realistic situation in which economic theory does not specify a likelihood for the variables of interest, and thus cannot be readily used for forecasting. If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large. References listed on IDEAS Please report citation or reference errors to Jose.Barrueco@uv.es, or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on ‘citations’ and make appropriate adjustments.: When requesting a correction, please mention this item’s handle: RePEc:red:sed012:548. See general information about how to correct material in RePEc. For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: email@example.com (Christian Zimmermann) If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about. If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form. If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the ‘citations’ tab in your profile, as there may be some citations waiting for confirmation. Please note that corrections may take a couple of weeks to filter through the various RePEc services. Source.