Joint Bayesian inference about impulse responses in VAR models

DOI10.1016/j.jeconom.2021.05.010OpenAlexW3043815492MaRDI QIDQ2106375

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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• Balanced Bootstrap Joint Confidence Bands for Structural Impulse Response Functions
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