Aggregate Shocks and Macroeconomic Fluctuations: A Bayesian Approach

Gary Koop

Journal of Applied Econometrics, 1992, vol. 7, issue 4, 395-411

Abstract: This paper describes Bayesian techniques for analysing the effects of aggregate shocks on macroeconomic time-series. Rather than calculate point estimates of the response of a time-series to an aggregate shock, we calculate the whole probability density function of the response and use Monte-Carlo or Gibbs sampling techniques to evaluate its properties. The proposed techniques impose identification restrictions in a way that includes the uncertainty in these restrictions, and thus are an improvement over traditional approaches that typically use least-squares techniques supplemented by bootstrapping. We apply these techniques in the context of two different models. A key finding is that measures of uncertainty, such as posterior standard deviations, are much larger than are their classical counterparts. Copyright 1992 by John Wiley & Sons, Ltd.

Date: 1992
References: Add references at CitEc
Citations: View citations in EconPapers (18)

Downloads: (external link)
http://links.jstor.org/sici?sici=0883-7252%2819921 ... 0.CO%3B2-7&origin=bc full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:jae:japmet:v:7:y:1992:i:4:p:395-411

Ordering information: This journal article can be ordered from
http://www3.intersci ... e.jsp?issn=0883-7252

Access Statistics for this article

Journal of Applied Econometrics is currently edited by M. Hashem Pesaran

More articles in Journal of Applied Econometrics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing () and Christopher F. Baum ().