脉冲响应的均匀先验

IF 6.6 1区 经济学 Q1 ECONOMICS
Econometrica Pub Date : 2025-03-29 DOI:10.3982/ECTA21101
Jonas E. Arias, Juan F. Rubio-Ramírez, Daniel F. Waggoner
{"title":"脉冲响应的均匀先验","authors":"Jonas E. Arias,&nbsp;Juan F. Rubio-Ramírez,&nbsp;Daniel F. Waggoner","doi":"10.3982/ECTA21101","DOIUrl":null,"url":null,"abstract":"<p>There has been a call for caution regarding the standard procedure for Bayesian inference in set-identified structural vector autoregressions on the grounds that the common practice of using a uniform prior over the set of orthogonal matrices induces a non-uniform prior for individual impulse responses or other quantities of interest. This paper challenges this call by formally showing that 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. In addition, we show how to conduct inference based on a uniform joint prior distribution for the vector of impulse responses.</p>","PeriodicalId":50556,"journal":{"name":"Econometrica","volume":"93 2","pages":"695-718"},"PeriodicalIF":6.6000,"publicationDate":"2025-03-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Uniform Priors for Impulse Responses\",\"authors\":\"Jonas E. Arias,&nbsp;Juan F. Rubio-Ramírez,&nbsp;Daniel F. Waggoner\",\"doi\":\"10.3982/ECTA21101\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<p>There has been a call for caution regarding the standard procedure for Bayesian inference in set-identified structural vector autoregressions on the grounds that the common practice of using a uniform prior over the set of orthogonal matrices induces a non-uniform prior for individual impulse responses or other quantities of interest. This paper challenges this call by formally showing that 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. In addition, we show how to conduct inference based on a uniform joint prior distribution for the vector of impulse responses.</p>\",\"PeriodicalId\":50556,\"journal\":{\"name\":\"Econometrica\",\"volume\":\"93 2\",\"pages\":\"695-718\"},\"PeriodicalIF\":6.6000,\"publicationDate\":\"2025-03-29\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Econometrica\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://onlinelibrary.wiley.com/doi/10.3982/ECTA21101\",\"RegionNum\":1,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Econometrica","FirstCategoryId":"96","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.3982/ECTA21101","RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 0

摘要

对于集识别结构向量自回归中贝叶斯推理的标准程序,有人提出了谨慎的要求,理由是在正交矩阵集合上使用均匀先验的常见做法会导致单个脉冲响应或其他感兴趣的量的非均匀先验。本文挑战了这一呼吁,正式地表明,当重点是联合推理时,正交矩阵集合上的一致先验不仅是充分的,而且是必要的,这是基于脉冲响应向量识别集上的一致联合先验分布的推理。此外,我们还展示了如何基于脉冲响应向量的均匀联合先验分布进行推理。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Uniform Priors for Impulse Responses

There has been a call for caution regarding the standard procedure for Bayesian inference in set-identified structural vector autoregressions on the grounds that the common practice of using a uniform prior over the set of orthogonal matrices induces a non-uniform prior for individual impulse responses or other quantities of interest. This paper challenges this call by formally showing that 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. In addition, we show how to conduct inference based on a uniform joint prior distribution for the vector of impulse responses.

求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
Econometrica
Econometrica 社会科学-数学跨学科应用
CiteScore
11.00
自引率
3.30%
发文量
75
审稿时长
6-12 weeks
期刊介绍: Econometrica publishes original articles in all branches of economics - theoretical and empirical, abstract and applied, providing wide-ranging coverage across the subject area. It promotes studies that aim at the unification of the theoretical-quantitative and the empirical-quantitative approach to economic problems and that are penetrated by constructive and rigorous thinking. It explores a unique range of topics each year - from the frontier of theoretical developments in many new and important areas, to research on current and applied economic problems, to methodologically innovative, theoretical and applied studies in econometrics. Econometrica maintains a long tradition that submitted articles are refereed carefully and that detailed and thoughtful referee reports are provided to the author as an aid to scientific research, thus ensuring the high calibre of papers found in Econometrica. An international board of editors, together with the referees it has selected, has succeeded in substantially reducing editorial turnaround time, thereby encouraging submissions of the highest quality. We strongly encourage recent Ph. D. graduates to submit their work to Econometrica. Our policy is to take into account the fact that recent graduates are less experienced in the process of writing and submitting papers.
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术官方微信