A previous version of this working paper was originally published in November 2018.
Our algorithm makes independent draws from any posterior distribution over the structural parameterization of a Proxy-SVAR. Our approach allows researchers to simultaneously use proxies and traditional zero and sign restrictions to identify structural shocks. We illustrate our methods with two applications. In particular, we show how to generalize the counterfactual analysis in Mertens and Montiel-Olea (2018) to identified structural shocks.