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Posterior Properties of Long-Run Impulse Responses

Author

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  • Koop, Gary
  • Osiewalski, Jacek
  • Steel, Mark F J

Abstract

This paper describes an exact, small-sample, Bayesian analysis of impulse response functions. The authors show how many common priors imply that posterior densities for impulse responses at long horizons have no moments. Their results indicate that impulse responses should be assessed on the basis of their full posterior densities and that standard estimates such as posterior means, variances, or modes may be very misleading.

Suggested Citation

  • Koop, Gary & Osiewalski, Jacek & Steel, Mark F J, 1994. "Posterior Properties of Long-Run Impulse Responses," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 489-492, October.
    • Handle: RePEc:bes:jnlbes:v:12:y:1994:i:4:p:489-92
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    Cited by:

    1. Guney, Selin, 2015. "An evaluation of price forecasts of the cattle market under structural changes," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 205109, Agricultural and Applied Economics Association.
    2. Koop, Gary & Ley, Eduardo & Osiewalski, Jacek & Steel, Mark F. J., 1997. "Bayesian analysis of long memory and persistence using ARFIMA models," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 149-169.
    3. Manveer Kaur Mangat & Erhard Reschenhofer, 2019. "Testing for Long-Range Dependence in Financial Time Series," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 11(2), pages 93-106, June.
    4. Koop, Gary, 1996. "Parameter uncertainty and impulse response analysis," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 135-149.

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