Uniform Priors for Impulse Responses
论证在联合推断中，对正交矩阵集使用均匀先验足以且必要地得到脉冲响应向量识别集上的均匀联合先验，并展示如何基于此进行推断。
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.