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 e?ort, 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
Authors:	Theodoridis, Konstantinos
Publisher:	Cardiff : Cardiff University, Cardiff Business School
Subject:	Dynamisches Gleichgewicht \| VAR-Modell \| Bayes-Statistik \| Theorie \| BVAR \| DSGE Model Evaluation \| Gibbs Sampling \| Bayes Factor

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Series:	Cardiff Economics Working Papers ; E2007/15
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	532771257 [GVK] hdl:10419/83932 [Handle] RePEc:cdf:wpaper:2007/15 [RePEc]
Classification:	C11 - Bayesian Analysis ; C13 - Estimation ; C32 - Time-Series Models ; C52 - Model Evaluation and Testing
Source:	EconStor

Persistent link: https://www.econbiz.de/10010322787