Priors from General Equilibrium Models for VARs
Marco Del Negro
Federal Reserve Bank of New York
University of Pennsylvania - Department of Economics; Centre for Economic Policy Research (CEPR)
PIER Working Paper No. 02-024
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, C53working papers series
Date posted: August 12, 2002
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