This paper analyzes the forecasting performance of an open economy DSGE model, estimated with Bayesian methods, for the … likelihood and two different Bayesian approaches, and traditional benchmark models, e.g. the random walk. The accuracy of point … present. We also critically examine the role of Bayesian model probabilities and other frequently used low …

We present a new method for estimating Bayesian vector autoregression (VAR) models using priors from a dynamic …-Wishart prior for the VAR parameters. Two hyper-parameters control the tightness of the DSGE-implied priors on the autoregressive … coefficients and the residual covariance matrix respectively. Determining these hyper-parameters by selecting the values that …

In Bayesian analysis of dynamic stochastic general equilibrium (DSGE) models, prior distributions for some of the taste … specification of prior distributions affects our assessment of the relative importance of different frictions. -- Bayesian analysis …