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Bayesian Analysis of DSGE Models by S. An and F. Schorfheide

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Author Info

  • Fabio Canova

Abstract

The paper that An and Schorfheide have written is an excellent piece of work and will become a useful reference for teaching and consultation purposes. The paper discusses in an articulate and convincing manner almost everything that one could think of covering in such a review. This makes the task of the commentator difficult. Nevertheless, I will attempt to add few insights on three issues which, in my opinion, play an important role in applied work and in the interpretation of the estimation result. In particular, I will discuss a) the sensitivity of posterior distributions to prior spreads; b) the effects of model misspecification and an approach to model respecification; c) parameter identification and its consequences for posterior inference.

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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Econometric Reviews.

Volume (Year): 26 (2007)
Issue (Month): 2-4 ()
Pages: 187-192

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Handle: RePEc:taf:emetrv:v:26:y:2007:i:2-4:p:187-192

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Related research

Keywords: Bayesian analysis; DSGE models; Model evaluation; Vector autoregressions;

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Cited by:
  1. Alexander Kriwoluzky & Christian A. Stoltenberg, 2009. "Nested models and model uncertainty," Economics Working Papers ECO2009/37, European University Institute.

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