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Priors

PostPosted: Tue Jun 09, 2015 7:03 am
by lin123
Hello,
Has any of you read authors who use "informed priors" or estimate some parameters outside the DSGE model?
Thanks in advance.

Re: Priors

PostPosted: Mon Jun 15, 2015 8:13 am
by jpfeifer
What exactly do you mean? Hybrid approaches are quite common. For example, Born/Pfeifer (2014): "Policy Risk and the Business Cycle" use dogmatic priors for some parameters, estimate a second set outside of the model and then finally use a Bayesian SMM to estimate the rest.