prior elicitation

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

JEL codes: 
C32, E30
Version Date: 
Jan 2007

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.

Report file: 
PDF icon Download the paper (1.45 MB)