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According to Del Negro/Schorfheide (2004), the variance priors and posteriors have degrees of freedom correction with number of estimated parameters in the VAR equation, i.e. variables times lags plus a constant:

`m*p+1`

However, http://www.dynare.org/DynareWiki/DsgeVar does not feature a constant in the description, but still uses the same initial improper prior with `m+1`

as if a constant would be used (below eqation (21) in DNS (2004)).

Similarly, equations P2 and Q2 of the Wiki use a correction of `-mp-m=-m*(p+1)`

suggesting a constant for every variable in each equation.

While the condition for `lambda*T<m(p+1)`

coincides with the one below equation (21) in DNS (2004), there is no formal derivation of this condition in DNS . The Wiki motivates this statement by alluding to the fact that we could not use OLS to estimate the equation if `T<m(p+1)`

. But this again looks strange as the number of parameters estimated is just `m*p+1`

.

To enable design management, you'll need to meet the requirements. If you need help, reach out to our support team for assistance.