Inoue, Atsushi; Kilian, Lutz - 2021 - This version: December 9, 2020
invalid. Specifically, we show that it does not make sense from a Bayesian point of view to characterize the impulse response … highly misleading estimates of the impulse response priors. We formally derive the correct impulse response prior … imply unintentionally informative priors for the impulse response vector or that the corresponding posterior is dominated by …