On Priors for Impulse Responses in Bayesian Structural VAR Models

Andrzej Kociêcki
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Andrzej Kociêcki: National Bank of Poland

Econometrics from EconWPA

Abstract: 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.

Keywords: impulse; responses; Structural; VAR; bayesian; analysis (search for similar items in EconPapers)
JEL-codes: C11 C32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2003-07-25
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.
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpem:0307006

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