Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/83932
Authors: 
Theodoridis, Konstantinos
Year of Publication: 
2007
Series/Report no.: 
Cardiff Economics Working Papers E2007/15
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 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.
Subjects: 
BVAR
DSGE Model Evaluation
Gibbs Sampling
Bayes Factor
JEL: 
C11
C13
C32
C52
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.