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Noninformative priors and frequentist risks of bayesian estimators of vector-autoregressive models

Listed author(s):
  • Ni, Shawn
  • Sun, Dongchu
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File URL: http://www.sciencedirect.com/science/article/pii/S0304-4076(03)00099-X
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 115 (2003)
Issue (Month): 1 (July)
Pages: 159-197

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Handle: RePEc:eee:econom:v:115:y:2003:i:1:p:159-197
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  1. Christopher A. Sims, 1986. "Are forecasting models usable for policy analysis?," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Win, pages 2-16.
  2. Leeper, Eric M. & Zha, Tao, 2003. "Modest policy interventions," Journal of Monetary Economics, Elsevier, vol. 50(8), pages 1673-1700, November.
  3. Christiano, Lawrence J. & Eichenbaum, Martin & Evans, Charles L., 1999. "Monetary policy shocks: What have we learned and to what end?," Handbook of Macroeconomics,in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 2, pages 65-148 Elsevier.
  4. Chuanming Gao & Kajal Lahiri, 2000. "A Comparison of Some Recent Bayesian and Classical Procedures for Simultaneous Equation Models with Weak Instruments," Econometric Society World Congress 2000 Contributed Papers 0230, Econometric Society.
  5. Kleibergen, Frank & van Dijk, Herman K., 1994. "On the Shape of the Likelihood/Posterior in Cointegration Models," Econometric Theory, Cambridge University Press, vol. 10(3-4), pages 514-551, August.
  6. Christopher A. Sims & Tao Zha, 1999. "Error Bands for Impulse Responses," Econometrica, Econometric Society, vol. 67(5), pages 1113-1156, September.
  7. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
  8. Berger, James O. & Yang, Ruo-Yong, 1994. "Noninformative Priors and Bayesian Testing for the AR(1) Model," Econometric Theory, Cambridge University Press, vol. 10(3-4), pages 461-482, August.
  9. Gordon, David B & Leeper, Eric M, 1994. "The Dynamic Impacts of Monetary Policy: An Exercise in Tentative Identification," Journal of Political Economy, University of Chicago Press, vol. 102(6), pages 1228-1247, December.
  10. Geweke, John, 1996. "Monte carlo simulation and numerical integration," Handbook of Computational Economics,in: H. M. Amman & D. A. Kendrick & J. Rust (ed.), Handbook of Computational Economics, edition 1, volume 1, chapter 15, pages 731-800 Elsevier.
  11. Sims, Christopher A. & Zha, Tao, 2006. "Does Monetary Policy Generate Recessions?," Macroeconomic Dynamics, Cambridge University Press, vol. 10(02), pages 231-272, April.
  12. 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 949-968, November.
  13. MacKinnon, James G. & Smith Jr., Anthony A., 1998. "Approximate bias correction in econometrics," Journal of Econometrics, Elsevier, vol. 85(2), pages 205-230, August.
  14. A. R. Pagan & J. C. Robertson, 1998. "Structural Models Of The Liquidity Effect," The Review of Economics and Statistics, MIT Press, vol. 80(2), pages 202-217, May.
  15. Deschamps, Philippe J., 2000. "Exact small-sample inference in stationary, fully regular, dynamic demand models," Journal of Econometrics, Elsevier, vol. 97(1), pages 51-91, July.
  16. Kleibergen, Frank & van Dijk, Herman K., 1998. "Bayesian Simultaneous Equations Analysis Using Reduced Rank Structures," Econometric Theory, Cambridge University Press, vol. 14(06), pages 701-743, December.
  17. Kleibergen, Frank & Paap, Richard, 2002. "Priors, posteriors and bayes factors for a Bayesian analysis of cointegration," Journal of Econometrics, Elsevier, vol. 111(2), pages 223-249, December.
  18. John Geweke, 1999. "Using Simulation Methods for Bayesian Econometric Models," Computing in Economics and Finance 1999 832, Society for Computational Economics.
  19. Chib, Siddhartha & Hamilton, Barton H., 2000. "Bayesian analysis of cross-section and clustered data treatment models," Journal of Econometrics, Elsevier, vol. 97(1), pages 25-50, July.
  20. Kadiyala, K Rao & Karlsson, Sune, 1997. "Numerical Methods for Estimation and Inference in Bayesian VAR-Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(2), pages 99-132, March-Apr.
  21. Zellner, Arnold, 1978. "Estimation of functions of population means and regression coefficients including structural coefficients : A minimum expected loss (MELO) approach," Journal of Econometrics, Elsevier, vol. 8(2), pages 127-158, October.
  22. Chib, Siddhartha, 1998. "Estimation and comparison of multiple change-point models," Journal of Econometrics, Elsevier, vol. 86(2), pages 221-241, June.
  23. Sims, Christopher A, 1972. "Money, Income, and Causality," American Economic Review, American Economic Association, vol. 62(4), pages 540-552, September.
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