Forming priors for DSGE models (and how it affects the assessment of nominal rigidities)
Marco Del Negro and
Frank Schorfheide
Journal of Monetary Economics, 2008, vol. 55, issue 7, 1191-1208
Abstract:
We discuss prior elicitation for the parameters of dynamic stochastic general equilibrium (DSGE) models, and provide a method for constructing prior distributions for a subset of these parameters from beliefs about steady-state relationships and second moments of the endogenous variables. The empirical application documents how the specification of the prior distribution affects our assessment of the relative importance of price and wage rigidities in a New Keynesian DSGE model.
Keywords: Bayesian; analysis; DSGE; models; Model; comparisons; Prior; elicitation; Nominal; rigidities (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (265)
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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) (2008) 
Working Paper: Forming Priors for DSGE Models (and How It Affects the Assessment of Nominal Rigidities) (2007) 
Working Paper: Forming Priors for DSGE Models (and How It Affects the Assessment of Nominal Rigidities) (2007) 
Working Paper: Forming priors for DSGE models (and how it affects the assessment of nominal rigidities) (2006) 
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Persistent link: https://EconPapers.repec.org/RePEc:eee:moneco:v:55:y:2008:i:7:p:1191-1208
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