Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/60902
Authors: 
Del Negro, Marco
Schorfheide, Frank
Year of Publication: 
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

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