.png){kind=icon}
返回
Inference in Bayesian Proxy-SVARs
.png){kind=icon}
OA
AI
DOI：10.1016/j.jeconom.2020.12.004.png)
.png){kind=icon}
.png){kind=icon}
分享.png){kind=icon}
收藏
摘要
En 中文
Motivated by the increasing use of external instruments to identify structural vector autoregressions (SVARs), we develop an algorithm for exact finite sample inference in this class of time series models, commonly known as Proxy-SVARs. Our algorithm makes independent draws from any posterior distribution over the structural parameterization of a Proxy-SVAR. Our approach allows researchers to simultaneously use proxies and traditional zero and sign restrictions to identify structural shocks. We illustrate our methods with two applications. In particular, we show how to generalize the counterfactual analysis in Mertens and Montiel-Olea (2018) to identified structural shocks. (C) 2020 Elsevier B.V. All rights reserved.
Keyword:
SVARs
External instruments
Importance sampler
AI总结
对已上传原文的论文进行重点信息的提取，主要内容包括：简要概述、研究摘要、背景介绍、关键亮点、图文解析、展望与总结。
期刊
IF:
4
论文数:
5.2K
被引数:
3.0W
机构
引用论文
Bootstrapping autoregressions with conditional heteroskedasticity of unknown form具有未知形式的条件异方差的自引导自回归OAAI
OAAI分享收藏
The Dynamic Effects of Personal and Corporate Income Tax Changes in the United States: Comment.png)
AMERICAN ECONOMIC REVIEWOAAI
AMERICAN ECONOMIC REVIEWIF11.6
OAAI分享收藏
查看更多内容