TY  - JOUR
AU  - Negro,Marco Del
AU  - Schorfheide,Frank
TI  - Forming Priors for DSGE Models (and How it Affects the Assessment of Nominal Rigidities)
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 13741
PY  - 2008
Y2  - January 2008
UR  - http://www.nber.org/papers/w13741
L1  - http://www.nber.org/papers/w13741.pdf
N1  - Author contact info:
Marco Del Negro
Federal Reserve Bank of New York
33 Liberty Street
NY NY 10045
E-Mail: marco.delnegro@ny.frb.org

Frank Schorfheide
University of Pennsylvania
Department of Economics
3718 Locust Walk
McNeil 525
Philadelphia, PA 19104-6297
Tel: 215/898-8486
Fax: 215/573-2057
E-Mail: schorf@ssc.upenn.edu
AB  - 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.

ER  -