A new algorithm for structural restrictions in Bayesian vector autoregressions
提出了一种在向量自回归中利用符号等结构约束进行推断的综合方法，通过吉布斯抽样高效联合估计参数和结构，适用于大型VAR模型，并用合成数据和金融因素对经济波动的影响验证了其优良性质。
A comprehensive methodology for inference in vector autoregressions (VARs) using sign and other structural restrictions is developed. The reduced-form VAR disturbances are driven by a few common factors and structural identification restrictions can be incorporated in their loadings in the form of parametric restrictions. A Gibbs sampler is derived that allows for reduced-form parameters and structural restrictions to be sampled efficiently in one step. A key benefit of the proposed approach is that it allows for treating parameter estimation and structural inference as a joint problem. An additional benefit is that the methodology can scale to large VARs with multiple shocks, and it can be extended to accommodate non-linearities, asymmetries, and numerous other interesting empirical features. The excellent properties of the new algorithm for inference are explored using synthetic data experiments, and by revisiting the role of financial factors in economic fluctuations using identification based on sign restrictions.