Existing proofs of the asymptotic validity of conventional methods of impulse response inference based on higher-order autoregressions are pointwise only. In this paper, we establish the uniform asymptotic validity of conventional asymptotic and bootstrap inference about individual impulse...

Many questions of economic interest in structural VAR analysis involve estimates of multiple impulse response functions. Other questions relate to the shape of a given impulse response function. Answering these questions requires joint inference about sets of structural impulse responses,...

A common problem in estimating dynamic stochastic general equilibrium models is that the structural parameters of economic interest are only weakly identified. As a result, classical confidence sets and Bayesian credible sets will not coincide even asymptotically, and the mean, mode, or median...

We derive the Bayes estimator of vectors of structural VAR impulse responses under a range of alternative loss functions. We also derive joint credible regions for vectors of impulse responses as the lowest posterior risk region under the same loss functions. We show that conventional impulse...