Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
966676 | Journal of Monetary Economics | 2008 | 18 Pages |
Abstract
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.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Marco Del Negro, Frank Schorfheide,