Point forecasts can be interpreted as functionals (i.e., point summaries) of predictive distributions. We extend methodology for the identification of the functional based on time series of point forecasts and associated realizations. Focusing on state‐dependent quantiles and expectiles, we...

Several recent studies have expressed concern that the Haar prior typically imposed in estimating sign-identified VAR models may be unintentionally informative about the implied prior for the structural impulse responses. This question is indeed important, but we show that the tools that have...

Several recent studies have expressed concern that the Haar prior typically imposed in estimating sign-identified VAR models may be unintentionally informative about the implied prior for the structural impulse responses. This question is indeed important, but we show that the tools that have...