Journal
JOURNAL OF MONETARY ECONOMICS
Volume 55, Issue 7, Pages 1191-1208Publisher
ELSEVIER
DOI: 10.1016/j.jmoneco.2008.09.006
Keywords
Bayesian analysis; DSGE models; Model comparisons; Prior elicitation; Nominal rigidities
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We discuss prior elicitation for the parameters of dynamic stochastic general equilibrium (DSGE) models, and provide a method for constructing prior distributions for a Subset of these parameters from beliefs about steady-state relationships and second moments of the endogenous variables. The empirical application documents how the specification of the prior distribution affects our assessment of the relative importance of price and wage rigidities in a New Keynesian DSGE model. (C) 2008 Elsevier B.V. All rights reserved.
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