Efficient Inference in Non-Gaussian Structural VARs

Handling Non - Invertibility : Theories and

5 Existing research provides no systematic, limited information procedure for handling 6 non-invertibility, despite the well-known inference problem it causes as well as its 7 presence in many types of dynamic systems. Non-invertibility means that structural 8 shocks cannot be recovered from a history of observed variables. It arises from a form 9 of delayed responses due to, among other things...

Handling Non - Invertibility :

5 Existing research provides no systematic, limited information procedure for handling 6 non-invertibility, despite the well-known inference problem it causes as well as its 7 presence in many types of dynamic systems. Non-invertibility means that structural 8 shocks cannot be recovered from a history of observed variables. It can arise from 9 a form of delayed responses due to, among other thi...

Estimating Overidentified, Nonrecursive Time-Varying Coefficients Structural VARs

This paper provides a method to estimate time varying coe¢ cients structural VARs which are non-recursive and potentially overidenti…ed. The procedure allows for linear and non-linear restrictions on the parameters, maintains the multi-move structure of standard algorithms and can be used to estimate structural models with di¤erent identi…cation restrictions. We study the transmission of moneta...

Bayesian Multivariate Time Series Methods for Empirical Macroeconomics

Macroeconomic practitioners frequently work with multivariate time series models such as VARs, factor augmented VARs as well as timevarying parameter versions of these models (including variants with multivariate stochastic volatility). These models have a large number of parameters and, thus, over-parameterization problems may arise. Bayesian methods have become increasingly popular as a way o...

On - line appendix to " Estimating overidenti ed , non - recursive , time varying coe ¢ cients structural VARs