Intrinsic Bayesian Estimation of Vector Autoregression Impulse Responses
向量自回归脉冲响应的内在贝叶斯估计
We propose an information-theoretic alternative to the conventional Bayesian posterior mean estimator of impulse responses in vector autoregression (VAR) models. The proposed estimator is based on the intrinsic entropy loss function, which is invariant to nonlinear transformations of parameters. Consequently, intrinsic estimation of impulse responses is equivalent to that of VAR parameters. The Bayesian estimator under the entropy loss involves a frequentist expectation of…