Arbeitspapier
Inference in Bayesian proxy-SVARs
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).
- Language
-
Englisch
- Bibliographic citation
-
Series: Working Paper ; No. 2018-16
- Classification
-
Wirtschaft
Statistical Simulation Methods: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- Subject
-
SVARs
external instruments
importance sampler
- Event
-
Geistige Schöpfung
- (who)
-
Arias, Jonas E.
Rubio-Ramírez, Juan Francisco
Waggoner, Daniel F.
- Event
-
Veröffentlichung
- (who)
-
Federal Reserve Bank of Atlanta
- (where)
-
Atlanta, GA
- (when)
-
2018
- DOI
-
doi:10.29338/wp2018-16
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Arias, Jonas E.
- Rubio-Ramírez, Juan Francisco
- Waggoner, Daniel F.
- Federal Reserve Bank of Atlanta
Time of origin
- 2018
Other Objects (12)
Robust Bayesian inference in proxy SVARs
Robust Bayesian inference in proxy SVARs
Analysis of variance for bayesian inference
Bayesian inference for the tangent portfolio
Ensemble MCMC sampling for robust Bayesian inference
Robust Bayesian inference for set-identified models
Emotions, Bayesian inference, and financial decision making
Robust Bayesian inference for set-identified models
BayesMultiMode: Bayesian Mode Inference in R
Bayesian inference for the mixed-frequency VAR model
A Bayesian approach for inference on probabilistic surveys
Bayesian inference for spectral projectors of covariance matrix
Robust Bayesian inference in proxy SVARs
Robust Bayesian inference in proxy SVARs
Analysis of variance for bayesian inference
Bayesian inference for the tangent portfolio
Ensemble MCMC sampling for robust Bayesian inference
Robust Bayesian inference for set-identified models
Emotions, Bayesian inference, and financial decision making
Robust Bayesian inference for set-identified models
BayesMultiMode: Bayesian Mode Inference in R
Bayesian inference for the mixed-frequency VAR model
A Bayesian approach for inference on probabilistic surveys
Bayesian inference for spectral projectors of covariance matrix
Robust Bayesian inference in proxy SVARs
Robust Bayesian inference in proxy SVARs
Analysis of variance for bayesian inference
Bayesian inference for the tangent portfolio
Ensemble MCMC sampling for robust Bayesian inference
Robust Bayesian inference for set-identified models
Emotions, Bayesian inference, and financial decision making
Robust Bayesian inference for set-identified models
BayesMultiMode: Bayesian Mode Inference in R
Bayesian inference for the mixed-frequency VAR model
A Bayesian approach for inference on probabilistic surveys