Impulse Response Functions in the Dynamic Stochastic General Equilibrium Vector Autoregression Model

Renata Wróbel-Rotter ()
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Renata Wróbel-Rotter: Cracow University of Economics

Central European Journal of Economic Modelling and Econometrics, 2016, vol. 8, issue 2, 93-114

Abstract: The model considered in the paper is defined as VAR with the prior distribution for parameters generated by the dynamic stochastic general equilibrium (DSGE) model. The degree of economic restrictions in the DSGE-VAR model is controlled by the weighting parameter. In the paper there is investigated the impact of the weighting parameter prior specifications for the posterior shape of impulse response functions (IRFs). In case of conditional models the paths of IRFs highly depend on the value of the weighting parameter that is set arbitrary. When considering full estimation with different prior types, means and gradual change in the dispersion the posterior time paths of IRFs are similar in models with high values of the marginal data density.

Keywords: dynamic stochastic general equilibrium vector autoregression; DSGE-VAR; impulse response functions; marginal (search for similar items in EconPapers)
JEL-codes: C11 C18 C51 E17 (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:psc:journl:v:8:y:2016:i:2:p:93-114

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