Impulse Response Functions in the Dynamic Stochastic General Equilibrium Vector Autoregression Model

• Autorzy: Renata Wróbel-Rotter
• Języki publikacji: EN

Abstrakty

EN

The model considered in the paper is defined as VAR with the priordistribution for parameters generated by the dynamic stochastic generalequilibrium (DSGE) model. The degree of economic restrictions in the DSGE-VAR model is controlled by the weighting parameter. In the paper there isinvestigated the impact of the weighting parameter prior specifications for theposterior shape of impulse response functions (IRFs). In case of conditionalmodels the paths of IRFs highly depend on the value of the weighting parameterthat is set arbitrary. When considering full estimation with different prior types,means and gradual change in the dispersion the posterior time paths of IRFsare similar in models with high values of the marginal data density. (original abstract)

Słowa kluczowe

EN

Vector Autoregression Model (VAR); Computable General Equilibrium model (CGE); Impulse Response Functions (IRF)

PL

Model wektorowej autoregresji; Obliczeniowy model równowagi ogólnej; Funkcje odpowiedzi na impuls

• Czasopismo: Central European Journal of Economic Modelling and Econometrics (CEJEME)
• Rocznik: 2016
• Tom: 8
• Numer: nr 2
• Strony: 93--114

Twórcy

autor

Renata Wróbel-Rotter

• Cracow University of Economics

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Identyfikatory

DOI

DOI: 10.24425/cejeme.2016.119189