Filippeli, Thomai; Harrison, Richard; Theodoridis, … - 2018
vector can be recovered from the BVAR posterior estimates: a new 'quasi-Bayesian' DSGE estimation. An empirical application … stochastic general equilibrium (DSGE) model. We use the DSGE model priors to determine the moments of an independent Normal …-Wishart prior for the VAR parameters. Two hyper-parameters control the tightness of the DSGE-implied priors on the autoregressive …