Dynamic Stochastic General Equilibrium (DSGE) priors for Bayesian Vector Autoregressive (BVAR) models: DSGE model comparison

Theodoridis, Konstantinos 2007. Dynamic Stochastic General Equilibrium (DSGE) priors for Bayesian Vector Autoregressive (BVAR) models: DSGE model comparison. [Working Paper]. Cardiff Economics Working Papers, Cardiff: Cardiff University.

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Abstract

This Paper describes a procedure for constructing theory restricted prior distributions for BVAR models. The Bayes Factor, which is obtained without any additional computational effort, 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.

Item Type:	Monograph (Working Paper)
Date Type:	Publication
Status:	Published
Schools:	Business (Including Economics)
Subjects:	H Social Sciences > HB Economic Theory
Publisher:	Cardiff University
Date of First Compliant Deposit:	30 March 2016
Last Modified:	06 Oct 2015 09:05
URI:	https://orca.cardiff.ac.uk/id/eprint/77765

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