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 …

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 …

mixed-frequency data in DSGE models. The first existing approach estimates the DSGE model in a quarterly frequency and uses … information from monthly auxiliary variables to inform in-between quarter DSGE estimates and forecasts. We compare our new method …

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