Priors from general equilibrium models for VARs

This paper uses a simple New Keynesian monetary DSGE 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.

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Year of publication:	2002
Authors:	Negro, Marco Del ; Schorfheide, Frank
Institutions:	Federal Reserve Bank of Atlanta
Subject:	Forecasting \| Vector autoregression

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Extent:	application/pdf
Series:	Working Paper.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 2002-14
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005401886