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Online Appendix to "Priors about Observables in Vector Autoregressions"

Author

Listed:
  • Marek Jarocinski
  • Albert Marcet

Abstract

Appendices A to C are in the main document. This document contains Appendices D to G.

Suggested Citation

  • Marek Jarocinski & Albert Marcet, 2013. "Online Appendix to "Priors about Observables in Vector Autoregressions"," Working Papers 685, Barcelona Graduate School of Economics.
  • Handle: RePEc:bge:wpaper:685
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    File URL: http://www.barcelonagse.eu/sites/default/files/working_paper_pdfs/685_0.pdf
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    Cited by:

    1. Weale, Martin & Wieladek, Tomasz, 2016. "What are the macroeconomic effects of asset purchases?," Journal of Monetary Economics, Elsevier, vol. 79(C), pages 81-93.

    More about this item

    Keywords

    vector autoregression; Bayesian estimation; prior about observables; inverse problem; monetary policy shocks;

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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