IDEAS home Printed from https://ideas.repec.org/p/cte/werepe/2838.html
   My bibliography  Save this paper

Posterior inference on long-run impulse responses

Author

Listed:
  • Koop, Gary
  • Osiewalski, Jacek
  • Steel, Mark F.J.

Abstract

This paper describes a Bayesian analysis of impulse response functions. We show how many common priors imply that posterior densities for impulse responses at long horizons have no moments. Our results suggest that impulse responses should be assessed on the basis of their full posterior densities, and that standard estimates such as posterior means, variances or modes may be very misleading.

Suggested Citation

  • Koop, Gary & Osiewalski, Jacek & Steel, Mark F.J., 1992. "Posterior inference on long-run impulse responses," UC3M Working papers. Economics 2838, Universidad Carlos III de Madrid. Departamento de Economía.
    • Handle: RePEc:cte:werepe:2838
    as

    Download full text from publisher

    File URL: https://e-archivo.uc3m.es/rest/api/core/bitstreams/773c9352-3760-494b-83ca-64f40b0c9b28/content
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. John Y. Campbell & N. Gregory Mankiw, 1987. "Are Output Fluctuations Transitory?," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 102(4), pages 857-880.
    2. Runkle, David E, 1987. "Vector Autoregressions and Reality," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(4), pages 437-442, October.
    3. Runkle, David E, 1987. "Vector Autoregressions and Reality: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(4), pages 454-454, October.
    4. Phillips, P C B, 1991. "To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(4), pages 333-364, Oct.-Dec..
    5. David E. Runkle, 1987. "Vector autoregressions and reality," Staff Report 107, Federal Reserve Bank of Minneapolis.
    6. Koop, G, 1992. "Aggregate Shocks and Macroeconomic Fluctuations: A Bayesian Approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(4), pages 395-411, Oct.-Dec..
    7. Lee, Kevin C & Pesaran, M Hashem & Pierse, Richard G, 1992. "Persistence of Shocks and Their," Economic Journal, Royal Economic Society, vol. 102(411), pages 342-356, March.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Christopher A. Sims & Tao Zha, 1999. "Error Bands for Impulse Responses," Econometrica, Econometric Society, vol. 67(5), pages 1113-1156, September.
    2. Pesavento, Elena & Rossi, Barbara, 2007. "Impulse response confidence intervals for persistent data: What have we learned?," Journal of Economic Dynamics and Control, Elsevier, vol. 31(7), pages 2398-2412, July.
    3. John D. Levendis, 2018. "Time Series Econometrics," Springer Texts in Business and Economics, Springer, number 978-3-319-98282-3, July.
    4. Thomas M. Fullerton JR., 2001. "Specification of a Borderplex Econometric Forecasting Model," International Regional Science Review, , vol. 24(2), pages 245-260, April.
    5. Ireland, Peter N., 2004. "A method for taking models to the data," Journal of Economic Dynamics and Control, Elsevier, vol. 28(6), pages 1205-1226, March.
    6. Banu Demirhan, 2016. "Financial Development and Investment Amount Nexus: A Case Study of Turkey," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 6(3), pages 127-134, March.
    7. Jeremy Berkowitz & Lutz Kilian, 2000. "Recent developments in bootstrapping time series," Econometric Reviews, Taylor & Francis Journals, vol. 19(1), pages 1-48.
    8. Brüggemann, Ralf & Jentsch, Carsten & Trenkler, Carsten, 2016. "Inference in VARs with conditional heteroskedasticity of unknown form," Journal of Econometrics, Elsevier, vol. 191(1), pages 69-85.
    9. Gediminas Adomavicius & Jesse Bockstedt & Alok Gupta, 2012. "Modeling Supply-Side Dynamics of IT Components, Products, and Infrastructure: An Empirical Analysis Using Vector Autoregression," Information Systems Research, INFORMS, vol. 23(2), pages 397-417, June.
    10. Ericsson, Neil R & Hendry, David F & Mizon, Grayham E, 1998. "Exogeneity, Cointegration, and Economic Policy Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(4), pages 370-387, October.
    11. Mark Wheeler, 1991. "Causality in the United Kingdom: Results from an Open Economy," Eastern Economic Journal, Eastern Economic Association, vol. 17(4), pages 439-449, Oct-Dec.
    12. Francisco F. R. Ramos, 1996. "Forecasting market shares using VAR and BVAR models: A comparison of their forecasting performance," Econometrics 9601003, University Library of Munich, Germany.
    13. Richard M. Todd, 1988. "Implementing Bayesian vector autoregressions," Working Papers 384, Federal Reserve Bank of Minneapolis.
    14. Jonathan H. Wright, 2000. "Exact confidence intervals for impulse responses in a Gaussian vector autoregression," International Finance Discussion Papers 682, Board of Governors of the Federal Reserve System (U.S.).
    15. Jose Tavares & Rossen Valkanov, 2001. "The neglected effect of fiscal policy on stock and bond returns," Nova SBE Working Paper Series wp413, Universidade Nova de Lisboa, Nova School of Business and Economics.
    16. James B. Bullard & John W. Keating, 1994. "Superneutrality in postwar economies," Working Papers 1994-011, Federal Reserve Bank of St. Louis.
    17. Jon Faust & John H. Rogers & Eric Swanson & Jonathan H. Wright, 2003. "Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data," Journal of the European Economic Association, MIT Press, vol. 1(5), pages 1031-1057, September.
    18. Cook, David, 1999. "The liquidity effect and money demand," Journal of Monetary Economics, Elsevier, vol. 43(2), pages 377-390, April.
    19. Abbritti, Mirko & Weber, Sebastian, 2010. "Labor market institutions and the business cycle - unemployment rigidities vs. real wage rigidities," Working Paper Series 1183, European Central Bank.
    20. King, Robert G. & Plosser, Charles I. & Stock, James H. & Watson, Mark W., 1991. "Stochastic Trends and Economic Fluctuations," American Economic Review, American Economic Association, vol. 81(4), pages 819-840, September.

    More about this item

    Keywords

    Persistence of shocks;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cte:werepe:2838. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ana Poveda (email available below). General contact details of provider: http://www.eco.uc3m.es/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.