Bayesian Analysis of DSGE Models by S. An and F. Schorfheide
评论了An和Schorfheide关于DSGE模型贝叶斯分析的综述，讨论了先验分布敏感性、模型误设与重新设定、参数识别对后验推断的影响，对应用研究者有参考价值。
The paper that An and Schorfheide have written is an excellent piece of work and will become a useful reference for teaching and consultation purposes. The paper discusses in an articulate and convincing manner almost everything that one could think of covering in such a review. This makes the task of the commentator difficult. Nevertheless, I will attempt to add few insights on three issues which, in my opinion, play an important role in applied work and in the interpretation of the estimation result. In particular, I will discuss a) the sensitivity of posterior distributions to prior spreads; b) the effects of model misspecification and an approach to model respecification; c) parameter identification and its consequences for posterior inference.