Priors from General Equilibrium Models for VARS

Marco Del Negro and Frank Schorfheide

International Economic Review, 2004, vol. 45, issue 2, 643-673

Abstract: This article uses a simple New Keynesian dynamic stochastic general equilibrium model as a prior for a vector autoregression, and shows that the resulting model is competitive with standard benchmarks in terms of forecasting, and can be used for policy analysis. Copyright 2004 by the Economics Department Of The University Of Pennsylvania And Osaka University Institute Of Social And Economic Research Association.

Date: 2004
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Working Paper: Priors from general equilibrium models for VARs (2002)
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