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Uniform Priors for Impulse Responses

Uniform priors for impulse responses
Authors: Arias, Jonas E.; Rubio-Ramírez, Juan Francisco; Waggoner, Daniel F.;

Uniform Priors for Impulse Responses

Abstract

There has been a call for caution regarding the standard procedure for Bayesian inference in set‐identified structural vector autoregressions on the grounds that the common practice of using a uniform prior over the set of orthogonal matrices induces a non‐uniform prior for individual impulse responses or other quantities of interest. This paper challenges this call by formally showing that when the focus is on joint inference, the uniform prior over the set of orthogonal matrices is not only sufficient but also necessary for inference based on a uniform joint prior distribution over the identified set for the vector of impulse responses. In addition, we show how to conduct inference based on a uniform joint prior distribution for the vector of impulse responses.

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Keywords

SVARs, ddc:330, sign restrictions, impulse responses, structural vector autoregressions, Game theory, economics, finance, and other social and behavioral sciences, uniform priors, E47, Bayesian, C11, C33, joint inference, uniform prior

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    popularity
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    Top 10%
    influence
    This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
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    This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
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Powered by OpenAIRE graph
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
12
Top 10%
Average
Top 10%
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