Working Paper

A Gibbs Sampler for Efficient Bayesian Inference in Sign-Identified SVARs

Jonas Arias,
Juan F. Rubio-Ramírez &
Minchul Shin

May 2025

WP 25-19 (Superseded by WP 26-04)

This paper was superseded by Working Paper 26-04 – Large SVARs.

Uniform Priors for Impulse Responses

Jonas Arias,
Juan F. Rubio-Ramírez &
Daniel F. Waggoner

Revised: October 2024

WP 22-30/R – This paper formally shows that when the focus is on joint inference, the uniform prior over the set of orthogonal matrices is not only sufficient but also necessary for inference based on a uniform joint prior distribution over the identified set for the vector of impulse responses.

Macroeconomics

Working Paper

Inference Based on Time-Varying SVARs Identified with Sign Restrictions

Jonas Arias,
Juan F. Rubio-Ramírez,
Minchul Shin &
Daniel F. Waggoner

November 2024

WP 24-18 – We propose a new methodology for causal inference in time-varying structural vector autoregressions. We illustrate our approach for inference by analyzing the role played by monetary policy during the latest inflation surge.

Macroeconomics

Working Paper

Inference for VARs Identified with Sign Restrictions

Hyungsik Roger Moon,
Frank Schorfheide,
Eleonora Granziera &
Mihye Lee

June 2011

WP 11-20 - There is a fast growing literature that partially identifies structural vector autoregressions (SVARs) by imposing sign restrictions on the responses of a subset of the endogenous variables to a particular structural shock (sign-restricted SVARs).