Question on the bayesian estimation results

[jpfeifer]

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Problems with the results of Bayesian estimation?

Dear Professor Pfeifer, When I use Bayesian approach to estimate the parameters in the model, I choose, for example, 6 observation series as there are 6 shocks and get results which seem ideal. However, when I change one of the series to a new one (e.g. I substitute output series for interest rate series), the results still seem acceptable while the values of estimated parameters are a little different and the conditional variance decomposition of variables is quite different. Is this normal w…