Forming priors for DSGE models (and how it affects the assessment of nominal rigidities)

Marco Del Negro () and Frank Schorfheide ()

No 320, Staff Reports from Federal Reserve Bank of New York

Abstract: This paper discusses prior elicitation for the parameters of dynamic stochastic general equilibrium (DSGE) models and provides a method for constructing prior distributions for a subset of these parameters from beliefs about the moments of the endogenous variables. The empirical application studies the role of price and wage rigidities in a New Keynesian DSGE model and finds that standard macro time series cannot discriminate among theories that differ in the quantitative importance of nominal frictions.

Keywords: Time-series analysis; Business cycles; Stochastic analysis; Keynesian economics; Equilibrium (Economics) (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-dge and nep-mac
Date: 2008
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Related works:
Working Paper: Forming Priors for DSGE Models (and How it Affects the Assessment of Nominal Rigidities) (2008)
Working Paper: Forming priors for DSGE models (and how it affects the assessment of nominal rigidities) (2006)
Working Paper: Forming Priors for DSGE Models (and How It Affects the Assessment of Nominal Rigidities) (2007)
Journal Article: Forming priors for DSGE models (and how it affects the assessment of nominal rigidities) (2008)
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