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

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  • 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.

Suggested Citation

  • Fabio Canova, 2007. "Bayesian Analysis of DSGE Models by S. An and F. Schorfheide," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 187-192.
  • Handle: RePEc:taf:emetrv:v:26:y:2007:i:2-4:p:187-192
    DOI: 10.1080/07474930701220162
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    Cited by:

    1. Alexander Kriwoluzky & Christian A. Stoltenberg, 2016. "Nested Models and Model Uncertainty," Scandinavian Journal of Economics, Wiley Blackwell, vol. 118(2), pages 324-353, April.
    2. Shahzada M. Naeem Nawaz & Ather Maqsood Ahmed, 2015. "New Keynesian Macroeconomic Model and Monetary Policy in Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 54(1), pages 55-71.

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