Quasi-Bayesian Local Projections: Simultaneous Inference and Extension to the Instrumental Variable Method
Fuente:
arXiv
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| Formato: | Preprint |
| Publicado: |
2025
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| _version_ | 1866913135268462592 |
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| author | Tanaka, Masahiro |
| author_facet | Tanaka, Masahiro |
| contents | Local projections (LPs) are widely used for impulse response analysis, but Bayesian methods face challenges due to the absence of a likelihood function. Existing approaches rely on pseudo-likelihoods, which often result in poorly calibrated posteriors. We propose a quasi-Bayesian method based on the Laplace-type estimator, where a quasi-likelihood is constructed using a generalized method of moments criterion. This approach avoids strict distributional assumptions, ensures well-calibrated inferences, and supports simultaneous credible bands. Additionally, it can be naturally extended to the instrumental variable method. We validate our approach through Monte Carlo simulations. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2503_20249 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Quasi-Bayesian Local Projections: Simultaneous Inference and Extension to the Instrumental Variable Method Tanaka, Masahiro Econometrics Local projections (LPs) are widely used for impulse response analysis, but Bayesian methods face challenges due to the absence of a likelihood function. Existing approaches rely on pseudo-likelihoods, which often result in poorly calibrated posteriors. We propose a quasi-Bayesian method based on the Laplace-type estimator, where a quasi-likelihood is constructed using a generalized method of moments criterion. This approach avoids strict distributional assumptions, ensures well-calibrated inferences, and supports simultaneous credible bands. Additionally, it can be naturally extended to the instrumental variable method. We validate our approach through Monte Carlo simulations. |
| title | Quasi-Bayesian Local Projections: Simultaneous Inference and Extension to the Instrumental Variable Method |
| topic | Econometrics |
| url | https://arxiv.org/abs/2503.20249 |