Joint Bayesian inference about impulse responses in VAR models

DOI10.1016/J.JECONOM.2021.05.010MaRDI QIDQ2106375zbMATH OpenOpenAlexFDO

Authors Atsushi Inoue, Lutz Kilian

Publication date 14 December 2022

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2021.05.010

zbMATH Keywords

loss functionjoint inferenceposterior riskmodal modelmean response functionmedian response function

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cites work

• scientific article; zbMATH DE number 578421 (Why is no real title available?)
• Balanced bootstrap joint confidence bands for structural impulse response functions
• Bayesian inference on structural impulse response functions
• Block recursion and structural vector autoregressions
• Confronting model misspecification in macroeconomics
• Corrigendum to ``Inference on impulse response functions in structural VAR models
• Error Bands for Impulse Responses
• Estimation and Confidence Regions for Parameter Sets in Econometric Models
• Inference based on structural vector autoregressions identified with sign and zero restrictions: theory and applications
• Inference on impulse response functions in structural VAR models
• Joint confidence sets for structural impulse responses
• Parameter uncertainty and impulse response analysis
• Robust Bayesian inference for set-identified models
• Statistical decision theory and Bayesian analysis. 2nd ed
• Structural vector autoregressions: theory of identification and algorithms for inference
• Structural vector autoregressive analysis

Cited in

(5)

• Narrative Restrictions and Proxies: Rejoinder
• The importance of supply and demand for oil prices: Evidence from non‐Gaussianity
• scientific article; zbMATH DE number 1098833 (Why is no real title available?)
• Advances in using vector autoregressions to estimate structural magnitudes
• Time-varying multivariate causal processes

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