On Priors for Impulse Responses in Bayesian Structural VAR Models
We proposed clear, methodologically sound framework for analyzing SVAR with priors on impulse responses. We showed it poses no difficulties in deriving the posterior which even in case of unidentified SVAR with flat prior on impulse functions (under the appropriate requirement tying number of observations, lags and variables) is necessarily proper. Accordingly, useful factorization of the posterior was given and efficient method for sampling from the posterior was outlined.
|Date of creation:||25 Jul 2003|
|Date of revision:|
|Note:||Type of Document - ; prepared on IBM PC - PC-TEX/UNIX Sparc TeX; to print on HP/PostScript/Franciscan monk; pages: 16 ; figures: included/request from author/draw your own. We never published this piece and now we would like to reduce our mailing and xerox cost by posting it.|
|Contact details of provider:|| Web page: http://econwpa.repec.org|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Uhlig, Harald, 2005.
"What are the effects of monetary policy on output? Results from an agnostic identification procedure,"
Journal of Monetary Economics,
Elsevier, vol. 52(2), pages 381-419, March.
- Tom Doan, . "RATS programs to replicate Uhlig's VAR identification technique," Statistical Software Components RTZ00163, Boston College Department of Economics.
- Tom Doan, . "UHLIGFUNCS: RATS procedure to compute criteria for Uhlig sign-restricted shocks," Statistical Software Components RTS00217, Boston College Department of Economics.
- Uhlig, Harald, 1999. "What are the Effects of Monetary Policy on Output? Results from an Agnostic Identification Procedure," CEPR Discussion Papers 2137, C.E.P.R. Discussion Papers.
- Jon Faust, 1998. "The robustness of identified VAR conclusions about money," International Finance Discussion Papers 610, Board of Governors of the Federal Reserve System (U.S.).
- Christopher A. Sims & Tao Zha, 1999.
"Error Bands for Impulse Responses,"
Econometric Society, vol. 67(5), pages 1113-1156, September.
- Christopher A. Sims & Tao Zha, 1994. "Error Bands for Impulse Responses," Cowles Foundation Discussion Papers 1085, Cowles Foundation for Research in Economics, Yale University.
- Christopher A. Sims & Tao Zha, 1995. "Error bands for impulse responses," FRB Atlanta Working Paper 95-6, Federal Reserve Bank of Atlanta.
- Tom Doan, . "RATS programs to replicate Sims and Zha(1999) "Error Bands for Impulse Responses"," Statistical Software Components RTZ00145, Boston College Department of Economics.
- Bauwens, L. & Bos, C.S. & van Dijk, H.K. & van Oest, R.D., 2002. "Adaptive polar sampling, a class of flexibel and robust Monte Carlo integration methods," Econometric Institute Research Papers EI 2002-27, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- 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 949-68, November.
- Daniel F. Waggoner & Tao Zha, 1999.
"Conditional Forecasts In Dynamic Multivariate Models,"
The Review of Economics and Statistics,
MIT Press, vol. 81(4), pages 639-651, November.
- Daniel F. Waggoner & Tao Zha, 1998. "Conditional forecasts in dynamic multivariate models," FRB Atlanta Working Paper 98-22, Federal Reserve Bank of Atlanta.
- Luc Bauwens & Charles S. Bos & Herman K. van Dijk & Rutger D. van Oest, 2002. "Adaptive Polar Sampling," Computing in Economics and Finance 2002 307, Society for Computational Economics.
- Faust, Jon, 1998.
"The robustness of identified VAR conclusions about money,"
Carnegie-Rochester Conference Series on Public Policy,
Elsevier, vol. 49(1), pages 207-244, December.
- Tom Doan, . "RATS program to replicate Faust 1998 paper on semi-structural VAR," Statistical Software Components RTZ00178, Boston College Department of Economics.
- Daniel F. Waggoner & Tao Zha, 1997. "Normalization, probability distribution, and impulse responses," FRB Atlanta Working Paper 97-11, Federal Reserve Bank of Atlanta.
- Eric M. Leeper & Christopher A. Sims & Tao Zha, 1996. "What Does Monetary Policy Do?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 27(2), pages 1-78.
- Schotman, Peter & van Dijk, Herman K., 1991. "A Bayesian analysis of the unit root in real exchange rates," Journal of Econometrics, Elsevier, vol. 49(1-2), pages 195-238.
- Uhlig, Harald, 1998. "The robustness of identified VAR conclusions about money : A comment," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 49(1), pages 245-263, December.
- Mark Dwyer, 1998. "Impulse Response Priors for Discriminating Structural Vector Autoregressions," Econometrics 9808001, EconWPA.
- Mark Dwyer, 1998. "Impulse Response Priors for Discriminating Structural Vector Autoregressions," UCLA Economics Working Papers 780, UCLA Department of Economics.
When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpem:0307006. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (EconWPA)
If references are entirely missing, you can add them using this form.