Impulse response diagnostics for priors on parameters in structural vector autoregressions

C-Tier
Journal: Economics Letters
Year: 2025
Volume: 253
Issue: C

Score contribution per author:

1.005 = (α=2.01 / 1 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Structural impulse response functions may be estimated based on priors about the parameters of the structural VAR presentation. Even when such priors appear seemingly reasonable, they may imply an unintentionally informative prior for the structural impulse responses. Rather than pretending that the posterior of the impulse responses does not depend on this prior, the proposal in this paper is to verify that the prior distribution of the vector of impulse responses of interest is not unintentionally informative. Moreover, if the impulse response prior is intentionally informative, this point must be conveyed, so the reader can properly evaluate the reported conclusions. This paper discusses easy-to-use diagnostic tools that help practitioners address these concerns.

Technical Details

RePEc Handle
repec:eee:ecolet:v:253:y:2025:i:c:s0165176525002277
Journal Field
General
Author Count
1
Added to Database
2026-01-25