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Forming Priors for DSGE Models (and How It Affects the Assessment of Nominal Rigidities)

  • Frank Schorfheide

    (University of Pennsylvania CEPR and NBER)

  • Marco Del Negro

    (Federal Reserve Bank of Atlanta)

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.

(This abstract was borrowed from another version of this item.)

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Paper provided by Society for Economic Dynamics in its series 2007 Meeting Papers with number 283.

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Date of creation: 2007
Date of revision:
Handle: RePEc:red:sed007:283
Contact details of provider: Postal: Society for Economic Dynamics Marina Azzimonti Department of Economics Stonybrook University 10 Nicolls Road Stonybrook NY 11790 USA
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