Working Paper
Priors from general equilibrium models for VARs
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.
Keywords: Forecasting; Vector autoregression;
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Bibliographic Information
Provider: Federal Reserve Bank of Atlanta
Part of Series: FRB Atlanta Working Paper
Publication Date: 2002
Number: 2002-14