Priors from General Equilibrium Models for VARs

Del Negro, Marco; Schorfheide, Frank

doi:10.2139/ssrn.322222

Abstract

References (36)

Citations (63)

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Priors from General Equilibrium Models for VARs

University of Pennsylvania - Department of Economics; Centre for Economic Policy Research (CEPR)

July 2002

PIER Working Paper No. 02-024

Abstract:
This paper uses a simple New-Keynesian monetary DSGE model as a prior for a VAR, shows that the resulting model is competitive with standard benchmarks in terms of forecasting, and can be used for policy analysis.

Number of Pages in PDF File: 45

Keywords: Bayesian Analysis, DSGE Models,Forecasting, Vector Autoregressions

JEL Classification: C11, C32, C53

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Date posted: August 12, 2002

Suggested Citation

Del Negro, Marco and Schorfheide, Frank, Priors from General Equilibrium Models for VARs (July 2002). PIER Working Paper No. 02-024. Available at SSRN: http://ssrn.com/abstract=322222 or http://dx.doi.org/10.2139/ssrn.322222

Contact Information

Marco Del Negro Federal Reserve Bank of New York ( email ) 33 Liberty Street New York, NY 10045 United States
Frank Schorfheide (Contact Author) University of Pennsylvania - Department of Economics ( email ) 3718 Locust Walk Philadelphia, PA 19104 United States HOME PAGE: http://www.econ.upenn.edu/~schorf
Centre for Economic Policy Research (CEPR) 77 Bastwick Street London, EC1V 3PZ United Kingdom

Abstract

References (36)

Citations (63)

Priors from General Equilibrium Models for VARs

Marco Del Negro

Frank Schorfheide

Date posted: August 12, 2002

Suggested Citation

Contact Information

Marco Del Negro

Frank Schorfheide (Contact Author)