Robust Bayesian inference in proxy SVARs

DOI10.1016/J.JECONOM.2021.02.003OpenAlexW4213087387MaRDI QIDQ2116362FDOQ2116362

Authors: Raffaella Giacomini, Toru Kitagawa, Matthew Read 

Publication date: 16 March 2022

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

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

• Introduction to empirical processes and semiparametric inference
• Instrumental Variables Regression with Weak Instruments
• Title not available (Why is that?)
• Sign restrictions, structural vector autoregressions, and useful prior information
• Structural vector autoregressive analysis
• Asymptotic theory of statistics and probability
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• Theory of statistics
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• Bayesian inference in a class of partially identified models
• Inference based on structural vector autoregressions identified with sign and zero restrictions: theory and applications
• Delta-method inference for a class of set-identified SVARs
• Robust Bayesian inference for set-identified models
• Marginal tax rates and income: new time series evidence
• Inference in structural vector autoregressions identified with an external instrument
• The analytics of SVARs: a unified framework to measure fiscal multipliers
• Inference in Bayesian proxy-SVARs
• Inference for VARs identified with sign restrictions
• A narrative approach to a fiscal DSGE model

Cited In (8)

• Proxy SVAR identification of monetary policy shocks -- Monte Carlo evidence and insights for the US
• Identification of SVAR Models by Combining Sign Restrictions With External Instruments
• An identification and testing strategy for proxy-SVARs with weak proxies
• 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
• Global robust Bayesian analysis in large models

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