Media type: E-Article Title: IDENTIFICATION ISSUES IN LIMITED‐INFORMATION BAYESIAN ANALYSIS OF STRUCTURAL MACROECONOMIC MODELS Contributor: Kleibergen, Frank; Mavroeidis, Sophocles Published: Wiley, 2014 Published in: Journal of Applied Econometrics, 29 (2014) 7, Seite 1183-1209 Language: English DOI: 10.1002/jae.2398 ISSN: 1099-1255; 0883-7252 Keywords: Economics and Econometrics ; Social Sciences (miscellaneous) Origination: Footnote: Description: SUMMARYThe likelihood of the parameters in structural macroeconomic models typically has non‐identification regions over which it is constant. When sufficiently diffuse priors are used, the posterior piles up in such non‐identification regions. Use of informative priors can lead to the opposite, so both can generate spurious inference. We propose priors/posteriors on the structural parameters that are implied by priors/posteriors on the parameters of an embedding reduced‐form model. An example of such a prior is the Jeffreys prior. We use it to conduct Bayesian limited‐information inference on the new Keynesian Phillips curve with a VAR reduced form for US data. Copyright © 2014 John Wiley & Sons, Ltd.