A Prior for Impulse Responses in Bayesian Structural VAR Models
Bibliographic Data
| ID | 19419929 |
|---|---|
| Authors | Andrzej Kocięcki (0000-0001-8921-7529, National Bank of Poland, corresponding author) |
| Year | 2010 |
| Volume | 28 |
| Issue | 1 |
| Pages | 115-127 |
| Publication date | 2010-01-01 |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1198/jbes.2009.07278 |
| OpenAlex | W1966414308 |
| Language | EN |
| References cited | 15 |
This article develops a comprehensive approach to formally introduce the prior for impulse responses into the Bayesian structural VAR (SVAR) models, with considerable attention paid to careful prior specification. Furthermore, we present an efficient algorithm to estimate the SVAR with a Gaussian prior for impulse responses using simulation methods. We also illustrate our methodology using an example in which we verifiy some facts concerning the impact of monetary policy shock on the economy
Bayesian econometrics · Bayesian inference · Bayesian probability · Bayesian vector autoregression · Econometrics · Economics · Gaussian · Impulse response · Macroeconomics · Monetary policy · Prior probability · Variable-order Bayesian network · Vector autoregression · Computer Science · Italy: Economic History and Contemporary Issues · Market Dynamics and Volatility · Mathematics · Monetary Policy and Economic Impact · Artificial Intelligence
| Highly cited | No |
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