Priors from General Equilibrium Models for VARs

By Marco del Negro, Frank Schorfheide. 2004

598 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Renewable Energy, Sustainability and the Environment

View Paper: https://www.semanticscholar.org/paper/a01862d24e0430ac48474accb157cdd430f08520

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Citations in the corpus

What does the yield curve tell us about GDP growth (2004, unknown): “systems (see, for example, Schorfheide, 2003; Del Negro and Schorfheide, 2004). While our model has, for simplicity, used observable short rates and term spreads as factors, we expect that other methods of constructing factors will have similar efficiency gains. Some alternative factors include prin”
On the Fit and Forecasting Performance of New Keynesian Models (2005, methodology): “The formula for the marginal posterior density of θ and the description of a Markov-Chain-Monte-Carlo algorithm that generates draws from the joint posterior of Φ, Σu, and θ are provided in Del Negro and Schorfheide (2004).”
Bayesian Analysis of DSGE Models (2006, unknown): “…be obtained through the marginal likelihood p (Y | ) = | T XX ( )+ X ′X |− n2 |(1 + )T ̂b( )|− (1+ )T−k2 | T XX ( )|− n2 | T ∗( )|− T−k2 ×(2 ) −nT /22 n((1+ )T−k) 2 ∏n i=1 [((1 + )T − k + 1 − i)/2] 2 n( T−k) 2 ∏n i=1 [( T − k + 1 − i)/2] A derivation is provided in Del Negro and Schorfheide (2004).”
The Bank of England Quarterly Model (2005, background): “Recent implementations include Del Negro and Schorfheide (2004). In different contexts, it is conventional to refer to (2) as a measurement equation, reflecting the assumption that the linear transforms of state values in Cs will only be imperfect approximations to observed data in y.”
Bayesian VARs : specification choices and forecast accuracy (2011, unknown): “…(1986) tradition, some BVAR forecasting work uses models with variables in levels or log levels (e.g. Banbura et al., 2010; Giannone et al., 2010, 2012), while other work uses models in differences or growth rates (e.g. Del Negro and Schorfheide, 2004; Clark and McCracken, 2008; Koop, 2013).”
An Estimated DSGE Model for the German Economy within the Euro Area (2005, methodology): “PC,t = P C t (StPt ) (1 C) (19) Defining the terms of trade (ratio of import to export prices) as Tt = Pt St Pt and using the dynamic form of this definition: Tt Tt 1 = t St St 1 t , we obtain the following equation for consumer price inflation:”
Real-Time Forecasting With a Mixed-Frequency VAR (2015, unknown): “…toward the prior mean and we choose the hyperparameter to maximize the log MDD. MDDbased hyperparameter selection has been discussed, for instance, in Phillips (1996), in Del Negro and Schorfheide (2004), Del Negro et al. (2007), and, most recently, studied in Giannone, Lenza, and Primiceri (2014).”
A new core inflation indicator for New Zealand (2012, unknown): “Following Del Negro and Schorfheide (2004), this parameter is chosen ex ante to maximize the marginal data density; i.”