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Testing identification assumptions of heteroskedastic SVARs: why the Bayesian treatment is more intuitive than the Frequentist one
In this post I will make the case that Bayesian models are much more intuitive than Frequentist models when it comes to parametrisation. Since Bayesian statistics consider data fixed and parameters as random, the resulting marginal posteriors can be interpreted and compared as such. In contrast, since Frequentist statistics consider parameters fixed and data random,…