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

Konstantinos Theodoridis

No E2007/15, Cardiff Economics Working Papers from Cardiff University, Cardiff Business School, Economics Section

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.

Keywords: BVAR; DSGE Model Evaluation; Gibbs Sampling; Bayes Factor (search for similar items in EconPapers)
JEL-codes: C11 C13 C32 C52 (search for similar items in EconPapers)
Pages: 8 pages
Date: 2007-06
New Economics Papers: this item is included in nep-dge, nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:cdf:wpaper:2007/15

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