The impact on forecasts and impulse responses of restricting drift in a Vector Autoregresion

Inference on the long-run properties of a Vector Autoregression (VAR) consisting wholly of I(1) variables are made using Bayesian methods. In particular, the implications on the forecast and impulse response function distributions of directly estimating and restricting the drift parameters of variables in a VAR are studied. It is found that the forecast and impulse response distributions are sensitive to the prior distribution placed over the drift parameters.

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Year of publication:	2001
Authors:	Landon-Lane, John
Publisher:	New Brunswick, NJ : Rutgers University, Department of Economics
Subject:	VAR-Modell \| Prognoseverfahren \| Theorie \| Forecasts \| Impulse Response Function \| Markov chain Monte Carlo \| Vector Autoregression

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Series:	Working Paper ; 2001-14
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	339968923 [GVK] hdl:10419/79177 [Handle] RePEc:rut:rutres:200114 [RePEc]
Classification:	C11 - Bayesian Analysis ; C13 - Estimation ; C32 - Time-Series Models
Source:	EconStor

Persistent link: https://www.econbiz.de/10010318363