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Dynamic Stochastic General Equilibrium (DSGE) Priors for Bayesian Vector Autoregressive (BVAR) Models: DSGE Model Comparison

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  • Theodoridis, Konstantinos

    () (Cardiff Business School)

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.

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Bibliographic Info

Paper provided by Cardiff University, Cardiff Business School, Economics Section in its series Cardiff Economics Working Papers with number E2007/15.

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Length: 8 pages
Date of creation: Jun 2007
Date of revision:
Handle: RePEc:cdf:wpaper:2007/15

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Related research

Keywords: BVAR; DSGE Model Evaluation; Gibbs Sampling; Bayes Factor;

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