TY - JOUR
N2 - The model considered in the paper is defined as VAR with the prior distribution for parameters generated by the dynamic stochastic general equilibrium (DSGE) model. The degree of economic restrictions in the DSGE-VAR model is controlled by the weighting parameter. In the paper there is investigated the impact of the weighting parameter prior specifications for the posterior shape of impulse response functions (IRFs). In case of conditional models the paths of IRFs highly depend on the value of the weighting parameter that is set arbitrary. When considering full estimation with different prior types, means and gradual change in the dispersion the posterior time paths of IRFs are similar in models with high values of the marginal data density.
L1 - http://journals.pan.pl/Content/103703/PDF/mainFile.pdf
L2 - http://journals.pan.pl/Content/103703
PY - 2016
IS - No 2
EP - 114
DO - 10.24425/cejeme.2016.119189
KW - dynamic stochastic general equilibrium vector autoregression
KW - DSGE-VAR
KW - impulse response functions
KW - marginal data density
A1 - Wróbel-Rotter, Renata
PB - Oddział PAN w Łodzi
DA - 30.06.2016
T1 - Impulse Response Functions in the Dynamic Stochastic General Equilibrium Vector Autoregression Model
SP - 93
UR - http://journals.pan.pl/dlibra/publication/edition/103703
T2 - Central European Journal of Economic Modelling and Econometrics
ER -