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On Priors for Impulse Responses in Bayesian Structural VAR Models

Author

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  • Andrzej Kociêcki

    (National Bank of Poland)

Abstract

We proposed clear, methodologically sound framework for analyzing SVAR with priors on impulse responses. We showed it poses no difficulties in deriving the posterior which even in case of unidentified SVAR with flat prior on impulse functions (under the appropriate requirement tying number of observations, lags and variables) is necessarily proper. Accordingly, useful factorization of the posterior was given and efficient method for sampling from the posterior was outlined.

Suggested Citation

  • Andrzej Kociêcki, 2003. "On Priors for Impulse Responses in Bayesian Structural VAR Models," Econometrics 0307006, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpem:0307006
    Note: Type of Document - ; prepared on IBM PC - PC-TEX/UNIX Sparc TeX; to print on HP/PostScript/Franciscan monk; pages: 16 ; figures: included/request from author/draw your own. We never published this piece and now we would like to reduce our mailing and xerox cost by posting it.
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    impulse responses Structural VAR bayesian analysis;

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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