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Priors from General Equilibrium Models for VARS

Author

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  • Marco Del Negro
  • Frank Schorfheide
Abstract
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.

Suggested Citation

  • Marco Del Negro & Frank Schorfheide, 2004. "Priors from General Equilibrium Models for VARS," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 45(2), pages 643-673, May.
    • Handle: RePEc:ier:iecrev:v:45:y:2004:i:2:p:643-673
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