Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/100870
Authors: 
Zha, Tao
Year of Publication: 
1996
Series/Report no.: 
Working Paper, Federal Reserve Bank of Atlanta 96-8
Abstract: 
In the applications of identified VAR models, finite-sample properties are not obvious to obtain when identifying restrictions are imposed on some lagged relationships. As a result, researchers have either left lagged relationships unrestricted even though some restrictions clearly make economic sense or failed to provide correct inference of the estimates. We extend the Bayesian methodology in the existing literature to these cases and develop the blockwise Monte Carlo methods. We show how to implement these methods to obtain the estimation and inference.
Subjects: 
Time-series analysis
Vector autoregression
Document Type: 
Working Paper

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