Algorithms for inference in SVARs identified with sign and zero restrictions

نویسندگان

چکیده

Summary I develop algorithms to facilitate Bayesian inference in structural vector autoregressions that are set-identified with sign and zero restrictions by showing the system of is equivalent a lower-dimensional space. Consequently, applicable under can be extended allow for restrictions. Specifically, extend proposed Amir-Ahmadi Drautzburg (2021) check whether identified set nonempty sample from without rejection sampling. compare new alternatives applying them variations model considered Arias et al. (2019a), who estimate effects US monetary policy using on reaction function. The particularly useful when rich substantially truncates given

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ژورنال

عنوان ژورنال: Econometrics Journal

سال: 2022

ISSN: ['1368-423X', '1367-423X', '1368-4221']

DOI: https://doi.org/10.1093/ectj/utac009