Priors from general equilibrium models for vars

• 成果类型: Article
• 署名作者: Del Negro, M; Schorfheide, F
• 署名单位: University of Pennsylvania; Federal Reserve System - USA; Federal Reserve Bank - Atlanta
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/j.1468-2354.2004.00139.x
• 发表日期: 2004
• 页码: 643-673
• 关键词: time-series models; vector autoregressions; fluctuations

摘要

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.