Search Results

Showing results 1 to 1 of approximately 1.

(refine search)
SORT BY: PREVIOUS / NEXT
Keywords:absolute loss 

Working Paper
The Role of the Prior in Estimating VAR Models with Sign Restrictions

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 ...
Working Papers , Paper 2030

FILTER BY Bank

FILTER BY Series

FILTER BY Content Type

FILTER BY Author

FILTER BY Jel Classification

C22 1 items

C32 1 items

C52 1 items

E31 1 items

Q43 1 items

FILTER BY Keywords

Prior 1 items

absolute loss 1 items

impulse response 1 items

joint inference 1 items

loss function 1 items

median 1 items

show more (2)

PREVIOUS / NEXT