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Marco Del Negro, Frank Schorfheide
NBER Working Paper No. 13741
Issued in January 2008
NBER Program(s): EFG
ME
---- Abstract -----
The paper discusses prior elicitation for the parameters of dynamic stochastic general equilibrium (DSGE) models, and provides a method for constructing prior distributions for a subset of these parameters from beliefs about the moments of the endogenous variables. The empirical application studies the role of price and wage rigidities in a New Keynesian DSGE model and finds that standard macro time series cannot discriminate among theories that differ in the quantitative importance of nominal frictions.
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