When Is the Use of Gaussian-Inverse Wishart-Haar Priors Appropriate?

• 成果类型: Article
• 署名作者: Inoue, Atsushi; Kilian, Lutz
• 署名单位: Vanderbilt University; Federal Reserve System - USA; Federal Reserve Bank - Dallas; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/738339
• 发表日期: 2026
• 关键词: structural vector autoregressions; IDENTIFIED VAR CONCLUSIONS; sign restrictions; monetary-policy; inference; Robustness

摘要

We provide evidence that the quantitative importance of the Haar prior for posterior impulse response inference has been overstated. How sensitive posterior inference is to the Haar prior depends on the width of the identified set. This width depends not only on how much the identified set is narrowed by the identifying restrictions but also on the data through the reduced-form model parameters. Hence, the role of the Haar prior can be assessed only on a case-by-case basis. We show by example that when the identification is sufficiently tight, posterior inference based on a Gaussian-inverse Wishart-Haar prior is justified.