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 18-25/R, Working Papers from Federal Reserve Bank of Philadelphia

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 is 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: 49 pages
Date: 2018-11-05
New Economics Papers: this item is included in nep-ecm and nep-ets
Note: Revised October 2020
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Citations: View citations in EconPapers (6)

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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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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedpwp:18-25

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DOI: 10.21799/frbp.wp.2018.25

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