Impulse Response Priors for Discriminating Structural Vector Autoregressions
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Andrzej Kociêcki, 2003. "On Priors for Impulse Responses in Bayesian Structural VAR Models," Econometrics 0307006, EconWPA.
- Marco Del Negro & Frank Schorfheide, 2004. "Priors from General Equilibrium Models for VARS," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 45(2), pages 643-673, May.
More about this item
KeywordsStructural Vector Autoregression; Exact Identification; Impulse Responses; Priors; Bayes Factors; Importance Sampling; Monetary Policy;
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- 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
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-1998-10-02 (All new papers)
- NEP-ECM-1998-10-02 (Econometrics)
- NEP-ETS-1998-10-02 (Econometric Time Series)
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