Priors from General Equilibrium Models for VARS

This article uses a simple New Keynesian dynamic stochastic general equilibrium model as a prior for a vector autoregression, and shows that the resulting model is competitive with standard benchmarks in terms of forecasting, and can be used for policy analysis. Copyright 2004 by the Economics Department Of The University Of Pennsylvania And Osaka University Institute Of Social And Economic Research Association.

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Year of publication:	2004
Authors:	Negro, Marco Del ; Schorfheide, Frank
Published in:	International Economic Review. - Department of Economics. - Vol. 45.2004, 2, p. 643-673
Publisher:	Department of Economics

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005384937