Guerron-Quintana, Pablo A.; Inoue, Atsushi; Kilian, Lutz - C.E.P.R. Discussion Papers - 2009
parameter vector, (2) the posterior distribution will not be Gaussian even asymptotically, and (3) Bayesian credible sets and … frequentist confidence sets will not coincide asymptotically. This means that Bayesian DSGE estimation should not be interpreted …