A DSGE-VAR for the Euro Area

Marco Del Negro and Frank Schorfheide ()

No 79, Computing in Economics and Finance 2004 from Society for Computational Economics

Abstract: This paper uses a modified version of the DSGE model estimated in Smets and Wouters (2003) to generate a prior distribution for a vector autoregression, following the approach in Del Negro and Schorfheide (2003). This DSGE-VAR is fitted to Euro area data on GDP, consumption, investment, nominal wages, hours worked,inflation, M2, and a short-term interest rate. We document the fit of the DSGE-VAR

Keywords: Bayesian Analysis; DSGE Models; Forecasting; Vector Autoregressions (search for similar items in EconPapers)
JEL-codes: C11 C32 C53 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-dge and nep-eec
Date: 2004-08-11
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Related works:
Working Paper: A DSGE-VAR for the Euro Area (2004)
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Persistent link: http://EconPapers.repec.org/RePEc:sce:scecf4:79

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