Bayesian Analysis

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

JEL codes: 
C32, E30
Version Date: 
Jan 2007
Author/s: 
Abstract: 

In Bayesian analysis of dynamic stochastic general equilibrium (DSGE) prior distributions for some of the taste-and-technology parameters can be obtained from microeconometric or pre-sample evidence, but it is difficult to elicit priors for the parameters that govern the law of motion of unobservable exogenous processes.

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On the Fit and Forecasting Performance of New Keynesian Models

JEL codes: 
C11, C32, C53
Version Date: 
Dec 2004
Author/s: 
Abstract: 

The Paper provides new tools for the evaluation of DSGE models, and applies it to a large-scale New Keynesian dynamic stochastic general equilibrium (DSGE) model with price and wage stickiness and capital accumulation. Specifically, we approximate the DSGE model by a vector autoregression (VAR), and then systematically relax the implied cross-equation restrictions.

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