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Bayes-Statistik 1 Bayesian inference 1 Induktive Statistik 1 Statistical inference 1 Theorie 1 Theory 1 VAR model 1 VAR-Modell 1
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Free 1
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English 1
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Yambolov, Andrian 1
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European Central Bank 1
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ECONIS (ZBW) 1
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How to conduct joint Bayesian inference in VAR models?
Yambolov, Andrian (contributor) - European Central Bank - 2025
Standard methods for constructing error bands around impulse response functions consider them in isolation, neglecting the estimation uncertainty that arises across variables and time horizons due to the joint nature of the underlying structural parameters. For example, one approach to assessing...
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