Please see How to determine priors?
The AR question is tricky. If your true data generating process in quarterly data is an AR1, you would get a VARMA process at annual frequency. That being said, using an AR1 is still standard.
Please see How to determine priors?
The AR question is tricky. If your true data generating process in quarterly data is an AR1, you would get a VARMA process at annual frequency. That being said, using an AR1 is still standard.