#2712. Inference in Bayesian Proxy-SVARs

December 2026publication date
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Journal’s subject area:
Economics and Econometrics;
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Abstract:
The article develops an algorithm for the accurate inference of a finite sample in this class of time series models, commonly known as Proxy-SVAR. The algorithm makes independent samples from any posterior distribution based on the Proxy-SVAR structural parameterization.
Keywords:
External instruments; Importance sampler; SVARs

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