Working Paper

Inference Based on Time-Varying SVARs Identified with Sign Restrictions

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

February 2024

WP 24-05 (Superseded by WP 24-18)

This paper was superseded by Working Paper 24-18 – Inference Based on Time-Varying SVARs Identified with Sign Restrictions.

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 in Bayesian Proxy-SVARs

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

October 2020

WP 18-25R — Motivated by the increasing use of external instruments to identify structural vector autoregressions (SVARs), we develop an algorithm for exact finite sample inference in this class of time series models, commonly known as Proxy-SVARs.

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).