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Bayesian Analysis of DSGE Models by S. An and F. Schorfheide

Fabio Canova ()

Econometric Reviews, 2007, vol. 26, issue 2-4, 187-192

Abstract: The paper that An and Schorfheide have written is an excellent piece of work and will become a useful reference for teaching and consultation purposes. The paper discusses in an articulate and convincing manner almost everything that one could think of covering in such a review. This makes the task of the commentator difficult. Nevertheless, I will attempt to add few insights on three issues which, in my opinion, play an important role in applied work and in the interpretation of the estimation result. In particular, I will discuss a) the sensitivity of posterior distributions to prior spreads; b) the effects of model misspecification and an approach to model respecification; c) parameter identification and its consequences for posterior inference.

Keywords: Bayesian analysis; DSGE models; Model evaluation; Vector autoregressions (search for similar items in EconPapers)
Date: 2007
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