Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/229159 
Erscheinungsjahr: 
2020
Schriftenreihe/Nr.: 
CFS Working Paper Series No. 650
Verlag: 
Goethe University Frankfurt, Center for Financial Studies (CFS), Frankfurt a. M.
Zusammenfassung: 
We derive the Bayes estimator of vectors of structural VAR impulse responses under a range of alternative loss functions. We also derive joint credible regions for vectors of impulse responses as the lowest posterior risk region under the same loss functions. We show that conventional impulse response estimators such as the posterior median response function or the posterior mean response function are not in general the Bayes estimator of the impulse response vector obtained by stacking the impulse responses of interest. We show that such pointwise estimators may imply response function shapes that are incompatible with any possible parameterization of the underlying model. Moreover, conventional pointwise quantile error bands are not a valid measure of the estimation uncertainty about the impulse response vector because they ignore the mutual dependence of the responses. In practice, they tend to understate substantially the estimation uncertainty about the impulse response vector.
Schlagwörter: 
Loss function
joint inference
median response function
mean response function
modal model
posterior risk
JEL: 
C22
C32
C52
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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