Artikel
Bayesian inference on structural impulse response functions
I propose to estimate structural impulse responses from macroeconomic time series by doing Bayesian inference on the Structural Vector Moving Average representation of the data. This approach has two advantages over Structural Vector Autoregressions. First, it imposes prior information directly on the impulse responses in a flexible and transparent manner. Second, it can handle noninvertible impulse response functions, which are often encountered in applications. Rapid simulation of the posterior distribution of the impulse responses is possible using an algorithm that exploits the Whittle likelihood. The impulse responses are partially identified, and I derive the frequentist asymptotics of the Bayesian procedure to show which features of the prior information are updated by the data. The procedure is used to estimate the effects of technological news shocks on the U.S. business cycle.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Quantitative Economics ; ISSN: 1759-7331 ; Volume: 10 ; Year: 2019 ; Issue: 1 ; Pages: 145-184 ; New Haven, CT: The Econometric Society
- Klassifikation
-
Wirtschaft
Bayesian Analysis: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- Thema
-
Bayesian inference
Hamiltonian Monte Carlo
impulse response function
news shock
nonfundamental
noninvertible
partial identification
structural vector autoregression
structural vector moving average
Whittle likelihood
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Plagborg-Møller, Mikkel
- Ereignis
-
Veröffentlichung
- (wer)
-
The Econometric Society
- (wo)
-
New Haven, CT
- (wann)
-
2019
- DOI
-
doi:10.3982/QE926
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Plagborg-Møller, Mikkel
- The Econometric Society
Entstanden
- 2019
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