The Impact on Forecasts and Impulse Responses of Restricting Drift in a Vector Autoregression

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:	2001-11-01
Authors:	Landon-Lane, John
Institutions:	Department of Economics, Rutgers University-New Brunswick
Subject:	Forecasts \| Impulse Response Function \| Markov chain Monte Carlo \| Vector Autoregression

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Extent:	application/pdf
Series:	Departmental Working Papers.
Type of publication:	Book / Working Paper
Classification:	C11 - Bayesian Analysis ; C13 - Estimation ; C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005839092