A Prior for Impulse Responses in Bayesian Structural VAR Models
提出在贝叶斯结构VAR模型中系统引入脉冲响应先验的方法，并给出高效估计算法，通过货币政策冲击实例验证其效果。
This article develops a comprehensive approach to formally introduce the prior for impulse responses into the Bayesian structural VAR (SVAR) models, with considerable attention paid to careful prior specification. Furthermore, we present an efficient algorithm to estimate the SVAR with a Gaussian prior for impulse responses using simulation methods. We also illustrate our methodology using an example in which we verifiy some facts concerning the impact of monetary policy shock on the economy.