Impulse Response Diagnostics for Priors on Parameters in Structural Vector Autoregressions
This paper proposes verifying that the prior distribution of impulse responses in structural VAR models is not unintentionally informative and discusses diagnostic tools to help practitioners ensure their priors do not unduly influence their reported conclusions.
Publication Details
- Journal
- Federal Reserve Bank of Dallas, Working Papers
- Published
- 2025-02-01
- DOI
- https://doi.org/10.24149/wp2507
- Primary Topic
- Fault Detection and Control Systems
- Type
- article
- Field-Weighted Citation Impact
- 0.00