欧洲央行：如何在VAR模型中进行贝叶斯联合推理？（英文版）

When economic analysis requires simultaneous inference across multiple variables and time horizons, this paper shows that conventional pointwise quantiles in Bayesian structural vector autoregressions significantly understate the uncertainty of impulse responses. The performance of recently proposed joint inference methods, which produce noticeably different error band estimates, is evaluated, and calibration routines are suggested to ensure that they achieve the intended nominal probability