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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
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    References listed on IDEAS

    as
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    4. David E. Runkle, 1987. "Vector autoregressions and reality," Staff Report 107, Federal Reserve Bank of Minneapolis.
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    6. 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.
    7. 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..
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    Keywords

    Persistence of shocks;

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