#2561. Inference in Bayesian Proxy-SVARs

November 2026publication date
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4 total number of authors per manuscript3000 $

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Journal’s subject area:
Economics and Econometrics;
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Abstract:
Motivated by the increasing use of external tools to detect structured vector autoregression (SVAR), we are developing an algorithm for accurate finite sample inference in this class of time series models, commonly known as Proxy-SVAR. Our algorithm draws independent conclusions from any posterior distribution based on the Proxy-SVAR structural parameterization. Our approach allows researchers to simultaneously use proxies and traditional zero and sign constraints to identify structural shocks.
Keywords:
External instruments; Importance sampler; SVARs

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