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DSGE priors for BVAR models
DSGE-based priors for BVARs and quasi-Bayesian DSGE estimation
(Elsevier/Science Direct, 2019-01-18)
© 2019 EcoSta Econometrics and Statistics A new method for estimating Bayesian vector autoregression (VAR) models using priors from a dynamic stochastic general equilibrium (DSGE) model is presented. The DSGE model priors ...