Inference in Bayesian Proxy-SVARs

Jonas E. Arias, Juan F Rubio-Ramirez and Daniel Waggoner
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Jonas E. Arias: https://www.philadelphiafed.org/our-people/jonas-arias

No 2018-16, FRB Atlanta Working Paper from Federal Reserve Bank of Atlanta

Abstract: Motivated by the increasing use of external instruments to identify structural vector autoregressions (SVARs), we develop algorithms for exact finite sample inference in this class of time series models, commonly known as proxy-SVARs. Our algorithms make independent draws from the normal-generalized-normal family of conjugate posterior distributions over the structural parameterization of a proxy-SVAR. Importantly, our techniques can handle the case of set identification and hence they can be used to relax the additional exclusion restrictions unrelated to the external instruments often imposed to facilitate inference when more than one instrument are used to identify more than one equation, as in Mertens and Montiel-Olea (2018).

Keywords: SVARs; external instruments; importance sampler (search for similar items in EconPapers)
JEL-codes: C15 C32 (search for similar items in EconPapers)
Pages: 48 pages
Date: 2018-12-01
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Citations: View citations in EconPapers (5)

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Related works:
Journal Article: Inference in Bayesian Proxy-SVARs (2021)
Working Paper: Inference in Bayesian Proxy-SVARs (2018)
Working Paper: Inference in Bayesian Proxy-SVARs (2018)
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DOI: 10.29338/wp2018-16

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