Inference Based on Structural Vector Autoregressions Identified With Sign and Zero Restrictions: Theory and Applications
符号与零限制识别的结构向量自回归推断：理论与应用
In this paper, we develop algorithms to independently draw from a family of conjugate posterior distributions over the structural parameterization when sign and zero restrictions are used to identify structural vector autoregressions (SVARs). We call this family of conjugate posteriors normal‐generalized‐normal. Our algorithms draw from a conjugate uniform‐normal‐inverse‐Wishart posterior over the orthogonal reduced‐form parameterization and transform the draws into the…