Uniform Priors for Impulse Responses

• 成果类型: Article
• 署名作者: Arias, Jonas E.; Rubio-Ramirez, Juan F.; Waggoner, Daniel F.
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; Emory University; Federal Reserve System - USA; Federal Reserve Bank - Atlanta
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA21101
• 发表日期: 2025
• 页码: 695-718
• 关键词: structural vector autoregressions; JOINT CONFIDENCE BANDS; IDENTIFIED VAR CONCLUSIONS; EMPIRICAL (IR)RELEVANCE; sign restrictions; Robustness; inference

摘要

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.