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| Title: | | Forming priors for DSGE models (and how it affects the assessment of nominal rigidities)  |
| Authors: | | Del Negro, Marco Schorfheide, Frank |
| Issue Date: | | 2008 |
| Series/Report no.: | | Staff Report, Federal Reserve Bank of New York 320 |
| Abstract: | | This paper discusses prior elicitation for the parameters of dynamic stochastic general equilibrium (DSGE) models and provides a method for constructing prior distributions for a subset of these parameters from beliefs about the moments of the endogenous variables. The empirical application studies the role of price and wage rigidities in a New Keynesian DSGE model and finds that standard macro time series cannot discriminate among theories that differ in the quantitative importance of nominal frictions. |
| Subjects: | | Bayesian analysis DSGE models model comparisons prior elicitation nominal rigidities |
| JEL: | | C32 E30 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Staff Reports, Federal Reserve Bank of New York
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