Priors from general equilibrium models for VARs

Marco Del Negro and Frank Schorfheide

No 2002-14, FRB Atlanta Working Paper from Federal Reserve Bank of Atlanta

Abstract: This paper uses a simple New Keynesian monetary DSGE 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.

Keywords: Forecasting; Vector autoregression (search for similar items in EconPapers)
Date: 2002
New Economics Papers: this item is included in nep-dge, nep-ecm and nep-rmg
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Citations: View citations in EconPapers (5)

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Journal Article: Priors from General Equilibrium Models for VARS (2004)
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