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The Impact on Forecasts and Impulse Responses of Restricting Drift in a Vector Autoregression

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Author Info
John Landon-Lane () (Rutgers University)

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Abstract

Inference on the long-run properties of a Vector Autoregression (VAR) consisting wholly of I(1) variables are made using Bayesian methods. In particular, the implications on the forecast and impulse response function distributions of directly estimating and restricting the drift parameters of variables in a VAR are studied. It is found that the forecast and impulse response distributions are sensitive to the prior distribution placed over the drift parameters.

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Publisher Info
Paper provided by Rutgers University, Department of Economics in its series Departmental Working Papers with number 200114.

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Date of creation: 01 Nov 2001
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Handle: RePEc:rut:rutres:200114

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Related research
Keywords: Forecasts; Impulse Response Function; Markov chain Monte Carlo; Vector Autoregression;

Find related papers by JEL classification:
C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Bayesian Analysis
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions

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