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

  • Ni, Shawn
  • Sun, Dongchu
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File URL: http://www.sciencedirect.com/science/article/B6VC0-487N3GP-3/2/e174665d3ef0e4efd106e8cb35d60178
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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. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
  2. Christopher A. Sims & Tao Zha, 1999. "Error Bands for Impulse Responses," Econometrica, Econometric Society, vol. 67(5), pages 1113-1156, September.
  3. David B. Gordon & Eric M. Leeper, 1993. "The dynamic impacts of monetary policy: an exercise in tentative identification," Working Paper 93-5, Federal Reserve Bank of Atlanta.
  4. Sims, Christopher A. & Zha, Tao, 2006. "Does Monetary Policy Generate Recessions?," Macroeconomic Dynamics, Cambridge University Press, vol. 10(02), pages 231-272, April.
  5. James G. MacKinnon & Anthony A. Smith Jr., 1995. "Approximate Bias Correction in Econometrics," Working Papers 919, Queen's University, Department of Economics.
  6. Christopher A. Sims & Tao Zha, 1996. "Bayesian methods for dynamic multivariate models," Working Paper 96-13, Federal Reserve Bank of Atlanta.
  7. Lawrence J. Christiano & Martin Eichenbaum & Charles L. Evans, 1998. "Monetary Policy Shocks: What Have We Learned and to What End?," NBER Working Papers 6400, National Bureau of Economic Research, Inc.
  8. Christopher A. Sims, 1986. "Are forecasting models usable for policy analysis?," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Win, pages 2-16.
  9. Eric M. Leeper & Tao Zha, 2002. "Modest policy interventions," Working Paper 2002-19, Federal Reserve Bank of Atlanta.
  10. Pagan, A.R. & Robertson, J.C., 1995. "Structural Models of the Liquidity Effect," Papers 283, Australian National University - Department of Economics.
  11. 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.
  12. Kleibergen, F.R. & van Dijk, H.K., 1997. "Bayesian Simultaneous Equations Analysis using Reduced Rank Structures," Econometric Institute Research Papers EI 9714/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  13. 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.
  14. Kleibergen, F.R. & Paap, R., 1998. "Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration," Econometric Institute Research Papers EI 9821, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  15. Kadiyala, K. Rao & Karlsson, Sune, 1994. "Numerical Aspects of Bayesian VAR-modeling," SSE/EFI Working Paper Series in Economics and Finance 12, Stockholm School of Economics.
  16. Sims, Christopher A, 1972. "Money, Income, and Causality," American Economic Review, American Economic Association, vol. 62(4), pages 540-52, September.
  17. 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.
  18. 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.
  19. John Geweke, 1995. "Monte Carlo simulation and numerical integration," Staff Report 192, Federal Reserve Bank of Minneapolis.
  20. John Geweke, 1999. "Using Simulation Methods for Bayesian Econometric Models," Computing in Economics and Finance 1999 832, Society for Computational Economics.
  21. 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.
  22. Chib, Siddhartha, 1998. "Estimation and comparison of multiple change-point models," Journal of Econometrics, Elsevier, vol. 86(2), pages 221-241, June.
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