Arbeitspapier
Dynamic stochastic general equilibrium (DSGE) priors for Bayesian vector autoregressive (BVAR) models: DSGE model comparison
This Paper describes a procedure for constructing theory restricted prior distributions for BVAR models. The Bayes Factor, which is obtained without any additional computational e?ort, 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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Cardiff Economics Working Papers ; No. E2007/15
- Klassifikation
-
Wirtschaft
Bayesian Analysis: General
Estimation: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Model Evaluation, Validation, and Selection
- Thema
-
BVAR
DSGE Model Evaluation
Gibbs Sampling
Bayes Factor
Dynamisches Gleichgewicht
VAR-Modell
Bayes-Statistik
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Theodoridis, Konstantinos
- Ereignis
-
Veröffentlichung
- (wer)
-
Cardiff University, Cardiff Business School
- (wo)
-
Cardiff
- (wann)
-
2007
- Handle
- Letzte Aktualisierung
- 10.03.2025, 11:42 MEZ
Datenpartner
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Theodoridis, Konstantinos
- Cardiff University, Cardiff Business School
Entstanden
- 2007
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