Online Appendix to “Priors about Observables in Vector Autoregressions”
نویسندگان
چکیده
منابع مشابه
Translating Priors about Observables in Autoregressions and the Role of Initial Conditions in Small Samples∗
We discuss estimation of autoregressive models with a prior about initial growth rates of the modeled series. This prior allows to specify prior beliefs about the behavior of time series in a natural way and it serves to replace arbitrary assumptions on initial conditions. To implement this prior we develop a technique for translating priors about observables into priors about coefficients. The...
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Standard practice in Bayesian VARs is to formulate priors on the autoregressive parameters, but economists and policy makers actually have priors about the behavior of observable variables. We show how this kind of prior can be used in a VAR under strict probability theory principles. We state the inverse problem to be solved and we propose a numerical algorithm that works well in practical sit...
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In the paper we use the set of models Ω defined in Definition 3 in Section 4. In Section 5.4 we also report findings conditional on the set of models Ω̃. In this online appendix we give the details of the exercise conditional on Ω̃. The motivation for this exercise is the following. The set of models Ω̃ is larger than the set of models Ω. In particular, Ω includes models with one Granger-noncausal...
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