Several recent studies have expressed concern that the Haar prior typically imposed in estimating sign-identified VAR … that there is no evidence that typical sign-identified VAR models estimated using conventional priors tend to imply … estimating sign-identified VAR models proposed by Baumeister and Hamilton (2015) suffers from exactly the same conceptual …

monthly shock that may be used as an external instrument in a monthly VAR model or local projection. The standard approach has … announcements to identify news shocks in VAR models of the global oil market. The proposed approach calls into question the …

approach to estimating sign-identified structural VAR models that seeks to build a bridge between Bayesian and frequentist … narrative restrictions in sign-identified structural VAR models. My discussion puts their contribution into the context of … Giacomini and Kitagawa’s broader research agenda and relates it to the larger literature on estimating structural VAR models …

Structural VAR models are routinely estimated by Bayesian methods. Several recent studies have voiced concerns about … the common use of posterior median (or mean) response functions in applied VAR analysis. In this paper, we show that these … same loss function. Our analysis covers a much wider range of structural VAR models than previous proposals in the …

structural vector autoregressive (VAR) models. When the implied impulse responses look similar, the estimates are considered … prove by counterexample that this practice is invalid in general, whether the data generating process is a structural VAR …