| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP15545
|
| DP15545 The Role of the Prior in Estimating VAR Models with Sign Restrictions |
| Atsushi Inoue; Lutz Kilian
|
| 发表日期 | 2020-12-11
|
| 出版年 | 2020
|
| 语种 | 英语
|
| 摘要 | Several recent studies have expressed concern that the Haar prior typically imposed in estimating sign-identified VAR models may be unintentionally informative about the implied prior for the structural impulse responses. This question is indeed important, but we show that the tools that have been used in the literature to illustrate this potential problem are invalid. Specifically, we show that it does not make sense from a Bayesian point of view to characterize the impulse response prior based on the distribution of the impulse responses conditional on the maximum likelihood estimator of the reduced-form parameters, since the the prior does not, in general, depend on the data. We illustrate that this approach tends to produce highly misleading estimates of the impulse response priors. We formally derive the correct impulse response prior distribution and show that there is no evidence that typical sign-identified VAR models estimated using conventional priors
tend to imply unintentionally informative priors for the impulse response vector or that the corresponding posterior is dominated by the prior. Our evidence suggests that concerns about the Haar prior for the rotation matrix have been greatly overstated and that alternative estimation methods are not required in typical applications. Finally, we demonstrate that the alternative Bayesian approach to estimating sign-identified VAR models proposed by Baumeister and Hamilton (2015) suffers from exactly the same conceptual shortcoming as the conventional approach. We illustrate that this alternative approach may imply highly economically implausible impulse response priors. |
| 主题 | International Macroeconomics and Finance
|
| 关键词 | Prior
Posterior
Impulse response
Loss function
Joint inference
Absolute loss
|
| URL | https://cepr.org/publications/dp15545
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/544548
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推荐引用方式
GB/T 7714 |
Atsushi Inoue,Lutz Kilian. DP15545 The Role of the Prior in Estimating VAR Models with Sign Restrictions. 2020.
|
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