Large SVARs

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

No 26-04, Working Papers from Federal Reserve Bank of Philadelphia

Abstract: We develop a new algorithm for inference in structural vector autoregressions (SVARs) identified with sign restrictions that can accommodate big data and modern identification schemes. The key innovation of our approach is to move beyond the traditional accept-reject framework commonly used in sign-identified SVARs. We show that embedding the elliptical slice sampling within a Gibbs sampler can deliver dramatic gains in computational speed and render previously infeasible applications tractable. To illustrate the approach in the context of sign-identified SVARs, we use a tractable example. We further assess the performance of our algorithm through two applications: a well-known small-SVAR model of the oil market featuring a tight identified set, and a large SVAR model with more than ten shocks and 100 sign restrictions.

Keywords: large structural vector autoregressions; sign restrictions; elliptical slice sampling (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Pages: 51
Date: 2025-01-22
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DOI: 10.21799/frbp.wp.2026.04

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