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Bayesian prior elicitation in DSGE models : macro- vs micropriors

Marco J. Lombardi

出版	Europ. Central Bank, 2011
URL	http://books.google.com.hk/books?id=lDrEnQEACAAJ&hl=&source=gbs_api

註釋

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.