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On Priors for Impulse Responses in Bayesian Structural VAR Models

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  • Andrzej Kociêcki

    (National Bank of Poland)

Abstract

We proposed clear, methodologically sound framework for analyzing SVAR with priors on impulse responses. We showed it poses no difficulties in deriving the posterior which even in case of unidentified SVAR with flat prior on impulse functions (under the appropriate requirement tying number of observations, lags and variables) is necessarily proper. Accordingly, useful factorization of the posterior was given and efficient method for sampling from the posterior was outlined.

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Bibliographic Info

Paper provided by EconWPA in its series Econometrics with number 0307006.

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Length: 16 pages
Date of creation: 25 Jul 2003
Date of revision:
Handle: RePEc:wpa:wuwpem:0307006

Note: Type of Document - ; prepared on IBM PC - PC-TEX/UNIX Sparc TeX; to print on HP/PostScript/Franciscan monk; pages: 16 ; figures: included/request from author/draw your own. We never published this piece and now we would like to reduce our mailing and xerox cost by posting it.
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Keywords: impulse responses Structural VAR bayesian analysis;

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  1. Faust, Jon, 1998. "The robustness of identified VAR conclusions about money," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 49(1), pages 207-244, December.
  2. Daniel F. Waggoner & Tao Zha, 1998. "Conditional forecasts in dynamic multivariate models," Working Paper 98-22, Federal Reserve Bank of Atlanta.
  3. Daniel F. Waggoner & Tao Zha, 1997. "Normalization, probability distribution, and impulse responses," Working Paper 97-11, Federal Reserve Bank of Atlanta.
  4. Mark Dwyer, 1998. "Impulse Response Priors for Discriminating Structural Vector Autoregressions," Econometrics 9808001, EconWPA.
  5. Christopher A. Sims & Tao Zha, 1994. "Error Bands for Impulse Responses," Cowles Foundation Discussion Papers 1085, Cowles Foundation for Research in Economics, Yale University.
  6. Uhlig, H.F.H.V.S., 1999. "What are the Effects of Monetary Policy on Output? Results from an Agnostic Identification Procedure," Discussion Paper 1999-28, Tilburg University, Center for Economic Research.
  7. Eric M. Leeper & Christopher A. Sims & Tao Zha, 1996. "What Does Monetary Policy Do?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 27(2), pages 1-78.
  8. Schotman, Peter & van Dijk, Herman K., 1991. "A Bayesian analysis of the unit root in real exchange rates," Journal of Econometrics, Elsevier, vol. 49(1-2), pages 195-238.
  9. Bauwens, L. & Bos, C.S. & van Dijk, H.K. & van Oest, R.D., 2002. "Adaptive polar sampling, a class of flexibel and robust Monte Carlo integration methods," Econometric Institute Research Papers EI 2002-27, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  10. Sims, Christopher A & Zha, Tao, 1998. "Bayesian Methods for Dynamic Multivariate Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 949-68, November.
  11. Luc Bauwens & Charles S. Bos & Herman K. van Dijk & Rutger D. van Oest, 2002. "Adaptive Polar Sampling," Computing in Economics and Finance 2002 307, Society for Computational Economics.
  12. Mark Dwyer, 1998. "Impulse Response Priors for Discriminating Structural Vector Autoregressions," UCLA Economics Working Papers 780, UCLA Department of Economics.
  13. Uhlig, Harald, 1998. "The robustness of identified VAR conclusions about money : A comment," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 49(1), pages 245-263, December.
  14. Jon Faust, 1998. "The robustness of identified VAR conclusions about money," International Finance Discussion Papers 610, Board of Governors of the Federal Reserve System (U.S.).
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