The Conventional Impulse Response Prior in VAR Models With Sign Restrictions
研究了带符号约束的VAR模型中常用的高斯-逆Wishart-Haar先验是否无意中对结构脉冲响应施加了信息，并讨论了在缺乏或存在先验信息时如何评估该先验，实证表明该先验不一定有信息性，即使有也可验证其不影响结论。
ABSTRACT Some studies have expressed concern that the Gaussian‐inverse Wishart–Haar prior typically employed in estimating sign‐identified VAR models may be unintentionally informative about the prior for the structural responses. We discuss what features to look for in this prior in the absence of specific prior information about the responses, building on the notion of weakly informative priors in Gelman et al. (2013), and in the presence of such information. Empirical examples illustrate that the Gaussian‐inverse Wishart–Haar prior need not be unintentionally informative. Even when it is, there are empirically verifiable conditions under which this fact becomes immaterial for the substantive conclusions.