Forming priors for DSGE models (and how it affects the assessment of nominal rigidities)
By: Marco Del Negro and Frank Schorfheide
Contributors: Schorfheide, Frank; Federal Reserve Bank of Atlanta
Series: Working paper series / Federal Reserve Bank of Atlanta -- 2006-16; Working paper series (Federal Reserve Bank of Atlanta : Online) -- 2006-16.
Publisher: Federal Reserve Bank of Atlanta
Published: 2006
Place of publication: Atlanta, Ga.]
Language: eng
Format: [electronic resource] /
Description: "In Bayesian analysis of dynamic stochastic general equilibrium (DSGE) models, prior  distributions for some of the taste-and-technology parameters can be obtained from microeconometric or  presample evidence, but it is difficult to elicit priors for the parameters that govern the law of motion of  unobservable exogenous processes. Moreover, since it is challenging to formulate beliefs about the  correlation of parameters, most researchers assume that all model parameters are independent of each  other. We provide a simple method of constructing prior distributions for a subset of DSGE model  parameters from beliefs about the moments of the endogenous variables. We use our approach to  investigate the importance of nominal rigidities and show how the specification of prior distributions  affects our assessment of the relative importance of different frictions."--Federal Reserve Bank of Atlanta web site.
Notes: Title from PDF file as viewed on Nov. 13, 2006

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