Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/79177
Authors: 
Landon-Lane, John
Year of Publication: 
2001
Series/Report no.: 
Working Papers, Department of Economics, Rutgers, The State University of New Jersey 2001,14
Abstract: 
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.
Subjects: 
Forecasts
Impulse Response Function
Markov chain Monte Carlo
Vector Autoregression
JEL: 
C11
C13
C32
Document Type: 
Working Paper

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