Posterior Properties of Long-Run Impulse Responses
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.
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Volume (Year): 12 (1994)
Issue (Month): 4 (October)
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