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Intrinsic Bayesian Estimation of Vector Autoregression Impulse Responses

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  • Ni, Shawn
  • Sun, Dongchu
  • Sun, Xiaoqian

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  • Ni, Shawn & Sun, Dongchu & Sun, Xiaoqian, 2007. "Intrinsic Bayesian Estimation of Vector Autoregression Impulse Responses," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 163-176, April.
  • Handle: RePEc:bes:jnlbes:v:25:y:2007:p:163-176
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    Cited by:

    1. David E. Allen & Chialin Chang & Michael McAleer & Abhay K. Singh, 2016. "A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices," Tinbergen Institute Discussion Papers 16-038/III, Tinbergen Institute.
    2. Mehmet Balcilar & Reneé van Eyden & Josine Uwilingiye & Rangan Gupta, 2017. "The Impact of Oil Price on South African GDP Growth: A Bayesian Markov Switching-VAR Analysis," African Development Review, African Development Bank, vol. 29(2), pages 319-336, June.
    3. Balcilar, Mehmet & Gupta, Rangan & Miller, Stephen M., 2015. "Regime switching model of US crude oil and stock market prices: 1859 to 2013," Energy Economics, Elsevier, vol. 49(C), pages 317-327.
    4. repec:spr:compst:v:32:y:2017:i:3:d:10.1007_s00180-017-0710-x is not listed on IDEAS
    5. Balcilar, Mehmet & Hammoudeh, Shawkat & Asaba, Nwin-Anefo Fru, 2015. "A regime-dependent assessment of the information transmission dynamics between oil prices, precious metal prices and exchange rates," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 72-89.

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