Joint Bayesian inference about impulse responses in VAR models

DOI10.1016/J.JECONOM.2021.05.010OpenAlexW3043815492MaRDI QIDQ2106375FDOQ2106375

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

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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)

Cites Work

• Title not available (Why is that?)
• Estimation and Confidence Regions for Parameter Sets in Econometric Models
• Block recursion and structural vector autoregressions
• Error Bands for Impulse Responses
• Structural Vector Autoregressive Analysis
• Statistical decision theory and Bayesian analysis. 2nd ed
• Inference on impulse response functions in structural VAR models
• Joint confidence sets for structural impulse responses
• Structural vector autoregressions: theory of identification and algorithms for inference
• Confronting model misspecification in macroeconomics
• Corrigendum to ``Inference on impulse response functions in structural VAR models
• Parameter uncertainty and impulse response analysis
• Inference Based on Structural Vector Autoregressions Identified With Sign and Zero Restrictions: Theory and Applications
• Robust Bayesian Inference for Set‐Identified Models
• Bayesian inference on structural impulse response functions
• Balanced Bootstrap Joint Confidence Bands for Structural Impulse Response Functions

Cited In (5)

• Narrative Restrictions and Proxies: Rejoinder
• The importance of supply and demand for oil prices: Evidence from non‐Gaussianity
• Title not available (Why is that?)
• Advances in using vector autoregressions to estimate structural magnitudes
• Time-varying multivariate causal processes

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