A Class of Time-Varying Parameter Structural VARs for Inference under Exact or Set Identification

Mark Bognanni

No 1811, Working Papers (Old Series) from Federal Reserve Bank of Cleveland

Abstract: This paper develops a new class of structural vector autoregressions (SVARs) with time-varying parameters, which I call a drifting SVAR (DSVAR). The DSVAR is the first structural time-varying parameter model to allow for internally consistent probabilistic inference under exact?or set?identification, nesting the widely used SVAR framework as a special case. I prove that the DSVAR implies a reduced-form representation, from which structural inference can proceed similarly to the widely used two-step approach for SVARs: beginning with estimation of a reduced form and then choosing among observationally equivalent candidate structural parameters via the imposition of identifying restrictions. In a special case, the implied reduced form is a tractable known model for which I provide the first algorithm for Bayesian estimation of all free parameters. I demonstrate the framework in the context of Baumeister and Peersman?s (2013b) work on time variation in the elasticity of oil demand.

Keywords: structural vector autoregressions; time-varying parameters; Gibbs sampling; stochastic volatility; Bayesian inference (search for similar items in EconPapers)
JEL-codes: C11 C15 C32 C52 E3 E4 E5 (search for similar items in EconPapers)
Pages: 61 pages
Date: 2018-09-11
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-mac and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (24)

Downloads: (external link)
https://doi.org/10.26509/frbc-wp-201811 Full text (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fedcwp:1811

Ordering information: This working paper can be ordered from

DOI: 10.26509/frbc-wp-201811

Access Statistics for this paper

More papers in Working Papers (Old Series) from Federal Reserve Bank of Cleveland Contact information at EDIRC.
Bibliographic data for series maintained by 4D Library ().