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Forming Priors for DSGE Models (and How it Affects the Assessment of Nominal Rigidities) / Marco Del Negro, Frank Schorfheide.
- Format:
- Book
- Author/Creator:
- Del Negro, Marco.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w13741.
- NBER working paper series no. w13741
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Other Title:
- Forming Priors for DSGE Models
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2008.
- Summary:
- The 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.
- Notes:
- Print version record
- January 2008.
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