Robust Bayesian inference in proxy SVARs

DOI10.1016/j.jeconom.2021.02.003OpenAlexW4213087387MaRDI QIDQ2116362

Toru Kitagawa, Matthew Read, Raffaella Giacomini

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)

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

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