Dynamic Stochastic General Equilibrium (DSGE) Priors for Bayesian Vector Autoregressive (BVAR) Models: DSGE Model Comparison

This Paper describes a procedure for constructing theory restricted prior distributions for BVAR models. The Bayes Factor, which is obtained without any additional computational effort, can be used to assess the plausibility of the restrictions imposed on the VAR parameter vector by competing DSGE models. In other words, it is possible to rank the amount of abstraction implied by each DSGE model from the historical data.

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Year of publication:	2007-06
Authors:	Theodoridis, Konstantinos
Institutions:	Economics Section, Cardiff Business School
Subject:	BVAR \| DSGE Model Evaluation \| Gibbs Sampling \| Bayes Factor

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Extent:	application/pdf
Series:	Cardiff Economics Working Papers. - ISSN 1749-6101.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number E2007/15 8 pages
Classification:	C11 - Bayesian Analysis ; C13 - Estimation ; C32 - Time-Series Models ; C52 - Model Evaluation and Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005162739