A prior for impulse responses in Bayesian structural VAR models

DOI10.1198/JBES.2009.07278MaRDI QIDQ3160935zbMATH OpenOpenAlexFDO

Authors Andrzej Kociȩcki

Publication date 11 October 2010

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1198/jbes.2009.07278

zbMATH Keywords

JacobianMetropolis-Hastings algorithmmonetary policyposteriorstructural vector autoregressive models

Mathematics Subject Classification ID

Bayesian inference (62F15) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Bayesian inference on structural impulse response functions
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Cited in

(5)

• Econometrics with system priors
• Joint Bayesian inference about impulse responses in VAR models
• Bayesian inference on structural impulse response functions
• A new posterior sampler for Bayesian structural vector autoregressive models
• Large structural VARs with multiple sign and ranking restrictions

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