@techreport{NBERw13741,
 title = "Forming Priors for DSGE Models (and How it Affects the Assessment of Nominal Rigidities)",
 author = "Marco Del Negro and Frank Schorfheide",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "13741",
 year = "2008",
 month = "January",
 URL = "http://www.nber.org/papers/w13741",
 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.},
}