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

Listed author(s):
  • Del Negro, Marco
  • Schorfheide, Frank

We discuss prior elicitation for the parameters of dynamic stochastic general equilibrium (DSGE) models, and provide a method for constructing prior distributions for a subset of these parameters from beliefs about steady-state relationships and second moments of the endogenous variables. The empirical application documents how the specification of the prior distribution affects our assessment of the relative importance of price and wage rigidities in a New Keynesian DSGE model.

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File URL: http://www.sciencedirect.com/science/article/pii/S0304-3932(08)00139-6
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Article provided by Elsevier in its journal Journal of Monetary Economics.

Volume (Year): 55 (2008)
Issue (Month): 7 (October)
Pages: 1191-1208

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Handle: RePEc:eee:moneco:v:55:y:2008:i:7:p:1191-1208
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505566

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