Abstract:This paper uses a modified version of the DSGE model estimated in Smets and Wouters (2003) to generate a prior distribution for a vector autoregression, following the approach in Del Negro and Schorfh...This paper uses a modified version of the DSGE model estimated in Smets and Wouters (2003) to generate a prior distribution for a vector autoregression, following the approach in Del Negro and Schorfheide (2003). This DSGE-VAR is fitted to Euro area data on GDP, consumption, investment, nominal wages, hours worked, inflation, M2, and a short-term interest rate. We document the fit of the DSGE-VAR.Read More
Publication Year: 2003
Publication Date: 2003-01-01
Language: en
Type: article
Access and Citation
Cited By Count: 4
AI Researcher Chatbot
Get quick answers to your questions about the article from our AI researcher chatbot