Posterior inference on long-run impulse responses

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    • Published in RePEc
Abstract
This paper describes a Bayesian analysis of impulse response functions. We show how many common priors imply that posterior densities for impulse responses at long horizons have no moments. Our results suggest that impulse responses should be assessed on the basis of their full posterior densities, and that standard estimates such as posterior means, variances or modes may be very misleading.
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