Corpus ID: 237593060

Algorithms for Inference in SVARs Identified with Sign and Zero Restrictions

@inproceedings{Read2021AlgorithmsFI,
  title={Algorithms for Inference in SVARs Identified with Sign and Zero Restrictions},
  author={Matthew Read},
  year={2021}
}
I develop algorithms to facilitate Bayesian inference in structural vector autoregressions that are set-identified with sign and zero restrictions by showing that the system of restrictions is equivalent to a system of sign restrictions in a lower-dimensional space. Consequently, algorithms applicable under sign restrictions can be extended to allow for zero restrictions. Specifically, I extend algorithms proposed in Amir-Ahmadi and Drautzburg (2021) to check whether the identified set is… Expand

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