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Uniform Priors for Impulse Responses
Please note this is not at the series usual start time.
“There has been a call for caution when using the conventional method for Bayesian inference in set-identified structural vector autoregressions on the grounds that the uniform prior over the set of orthogonal matrices could be nonuniform for key objects of interest. This paper challenges this call. Although the prior distributions of individual impulse responses induced by the conventional method may be nonuniform, they typically do not drive the posteriors if one does not condition on the reduced-form parameters. Importantly, 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. We also propose variants of the conventional method to conduct inference based on a uniform joint prior distribution for the vector of impulse responses. We generalize our results to vectors of objects of interest beyond impulse responses.”
Date:
21 November 2022, 14:00
Venue:
Manor Road Building, Manor Road OX1 3UQ
Venue Details:
Seminar Room A
Speaker:
Juan Rubio Ramirez (Emory University)
Organising department:
Department of Economics
Part of:
Macroeconomics Seminar
Booking required?:
Not required
Audience:
Members of the University only
Editors:
Melis Clark,
Emma Heritage
