methodology of constructing Dynamic Stochastic General Equilibrium (DSGE) consistent prior distributions for Bayesian Vector … Autoregressive (BVAR) models. The moments of the assumed Normal-Inverse Wishart (no conjugate) prior distribution of the VAR … Ravenna (2007) regarding structural VAR (SVAR) models and the normal prior density of the DSGE parameter vector. In line with …

inference method to map from this TV VAR to time variation in implied Dynamic Stochastic General Equilibrium (DSGE) parameters …

DSGE models have recently received considerable attention in macroeconomic analysis and forecasting. They are usually … estimation of DSGE models that can accommodate time variation in all parameters of the model. There are two advantages in … design of DSGE models. The second advantage is that we can compute predictive densities based on the most recent parameters …

models and different scale Bayesian VARs (BVAR), and compares their relative accuracy. The results show that the BVAR model … indicates that a BVAR performs better than the benchmark in all forecast horizons. Statistical differences between the two BVAR …

shock has remained fairly stable. Simulations from a non-linear DSGE model suggest that these empirical results are …