Bayesian analysis of recursive SVAR models with overidentifying restrictions

Andrzej Kocięcki, Michał Rubaszek and Michele Ca' Zorzi

No 1492, Working Paper Series from European Central Bank

Abstract: The paper provides a novel Bayesian methodological framework to estimate structural VAR (SVAR) models with recursive identification schemes that allows for the inclusion of over-identifying restrictions. The proposed framework enables the researcher to (i) elicit the prior on the non-zero contemporaneous relations between economic variables and to (ii) derive an analytical expression for the posterior distribution and marginal data density. We illustrate our methodological framework by estimating a backward looking New-Keynesian model taking into account prior beliefs about the contemporaneous coefficients in the Phillips curve and Taylor rule. JEL Classification: C11, C32, E47

Keywords: Bayesian inference; overidentifying restrictions; structural VAR (search for similar items in EconPapers)
Date: 2012-11
New Economics Papers: this item is included in nep-ecm and nep-ets
Note: 343031
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20121492

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