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Title:Forming priors for DSGE models (and how it affects the assessment of nominal rigidities) PDF Logo
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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