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)
Date: 2004-08-11
New Economics Papers: this item is included in nep-dge and nep-eec
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://repec.org/sce2004/up.11299.1077057069.pdf (application/pdf)

Related works:
Working Paper: A DSGE-VAR for the Euro Area (2004)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sce:scecf4:79

Access Statistics for this paper

More papers in Computing in Economics and Finance 2004 from Society for Computational Economics Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum ().