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Priors from general equilibrium models for VARs

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Abstract

This paper uses a simple New Keynesian monetary DSGE 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.

Suggested Citation

  • Marco Del Negro & Frank Schorfheide, 2002. "Priors from general equilibrium models for VARs," FRB Atlanta Working Paper 2002-14, Federal Reserve Bank of Atlanta.
    • Handle: RePEc:fip:fedawp:2002-14
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    Keywords

    Forecasting; Vector autoregression;

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