Check correctness of DSGE-VAR Wiki
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:
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