Joint Bayesian inference about impulse responses in VAR models
type: Item
instance of: scholarly article
title: Joint Bayesian inference about impulse responses in VAR models
author: Atsushi Inoue
author: Lutz Kilian
published in: Journal of Econometrics
publication date: 2022-12-14T00:00:00Z
Mathematics Subject Classification ID: 62-XX
Mathematics Subject Classification ID: 91-XX
zbMATH DE Number: 7633048
zbMATH Keywords: loss function
zbMATH Keywords: joint inference
zbMATH Keywords: median response function
zbMATH Keywords: mean response function
zbMATH Keywords: modal model
zbMATH Keywords: posterior risk
MaRDI profile type: Publication
full work available at URL: j.jeconom.2021.05.010
OpenAlex ID: W3043815492
cites work: Inference Based on Structural Vector Autoregressions Identified With Sign and Zero Restrictions: Theory and Applications
cites work: Statistical decision theory and Bayesian analysis. 2nd ed
cites work: Q4293547
cites work: Balanced Bootstrap Joint Confidence Bands for Structural Impulse Response Functions
cites work: Estimation and Confidence Regions for Parameter Sets in Econometric Models
cites work: Robust Bayesian Inference for Set‐Identified Models
cites work: Inference on impulse response functions in structural VAR models
cites work: Joint confidence sets for structural impulse responses
cites work: Corrigendum to ``Inference on impulse response functions in structural VAR models''
cites work: Structural Vector Autoregressive Analysis
cites work: Parameter uncertainty and impulse response analysis
cites work: Bayesian inference on structural impulse response functions
cites work: Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference
cites work: Error Bands for Impulse Responses
cites work: Confronting model misspecification in macroeconomics
cites work: Block recursion and structural vector autoregressions
DOI: 10.1016/J.JECONOM.2021.05.010
Recommended article: A Prior for Impulse Responses in Bayesian Structural VAR Models
Recommended article: Q4369005
Recommended article: Inference on impulse response functions in structural VAR models
Recommended article: Bayesian inference on structural impulse response functions
Recommended article: A Bayesian analysis of normalized VAR models
Recommended article: Bayesian stochastic search for VAR model restrictions
Recommended article: Q5383604
Recommended article: Bayesian inference in a time varying cointegration model
Recommended article: Asymptotically valid Bayesian inference in the presence of distributional misspecification in VAR models
description: scientific article; zbMATH DE number 7633048