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.
- Language
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Englisch
- Bibliographic citation
-
Series: Cardiff Economics Working Papers ; No. E2007/15
- Classification
-
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
- Subject
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BVAR
DSGE Model Evaluation
Gibbs Sampling
Bayes Factor
Dynamisches Gleichgewicht
VAR-Modell
Bayes-Statistik
Theorie
- Event
-
Geistige Schöpfung
- (who)
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Theodoridis, Konstantinos
- Event
-
Veröffentlichung
- (who)
-
Cardiff University, Cardiff Business School
- (where)
-
Cardiff
- (when)
-
2007
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Theodoridis, Konstantinos
- Cardiff University, Cardiff Business School
Time of origin
- 2007
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Bayesian estimation of DSGE models with Hamiltonian Monte Carlo
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Bayesian estimation of a DSGE model with asset prices
Estimation of DSGE models: Maximum likelihood vs. Bayesian methods