Robust Bayesian inference in proxy SVARs

DOI10.1016/J.JECONOM.2021.02.003MaRDI QIDQ2116362zbMATH OpenOpenAlexFDO

Authors Raffaella Giacomini, Toru Kitagawa, Matthew Read

Publication date 16 March 2022

Published in Journal of Econometrics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1016/j.jeconom.2021.02.003

zbMATH Keywords

weak identificationmultiple priorsSVARset-identificationexternal instruments

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• scientific article; zbMATH DE number 777596 (Why is no real title available?)
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• Inference for VARs identified with sign restrictions
• Inference in Bayesian proxy-SVARs
• Inference in structural vector autoregressions identified with an external instrument
• Instrumental Variables Regression with Weak Instruments
• Introduction to empirical processes and semiparametric inference
• Marginal tax rates and income: new time series evidence
• Robust Bayesian inference for set-identified models
• Sign restrictions, structural vector autoregressions, and useful prior information
• Structural vector autoregressions: theory of identification and algorithms for inference
• Structural vector autoregressive analysis
• The analytics of SVARs: a unified framework to measure fiscal multipliers
• Theory of statistics

Cited in

(8)

• Comments on “Narrative Restrictions and Proxies” by Giacomini, Kitagawa, and Read
• Narrative Restrictions and Proxies: Rejoinder
• Challenges and opportunities for twenty first century Bayesian econometricians: a personal view
• Posterior manifolds over prior parameter regions: beyond pointwise sensitivity assessments for posterior statistics from MCMC inference
• Proxy SVAR identification of monetary policy shocks -- Monte Carlo evidence and insights for the US
• Global robust Bayesian analysis in large models
• Identification of SVAR Models by Combining Sign Restrictions With External Instruments
• An identification and testing strategy for proxy-SVARs with weak proxies

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