Arbeitspapier
Bayesian prior elicitation in DSGE models: macro- vs micro-priors
Bayesian approaches to the estimation of DSGE models are becoming increasingly popular. Prior knowledge is normally formalized either be information concerning deep parameters’ values (‘microprior’) or some macroeconomic indicator, e.g. moments of observable variables (‘macroprior’). In this paper we introduce a non parametric prior which is elicited from impulse response functions. Results show that using either a microprior or a macroprior can lead to different posterior estimates. We probe into the details of our result, showing that model misspecification is to blame for that.
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 1289
- Klassifikation
-
Wirtschaft
Bayesian Analysis: General
Model Construction and Estimation
Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data)
- Thema
-
Bayesian estimation
DSGE Models
impulse response function
Prior Distribution
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Lombardi, Marco J.
Nicoletti, Giulio
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2011
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Lombardi, Marco J.
- Nicoletti, Giulio
- European Central Bank (ECB)
Entstanden
- 2011
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