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DSGE-based priors for BVARs and quasi-Bayesian DSGE estimation

Filippeli, T; Harrison, R; Theodoridis, K (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 ...