Large Bayesian VARs with Factor Stochastic Volatility: Identification, Order Invariance and Structural Analysis
具有因子随机波动率的大型贝叶斯 VAR:识别、排序不变性与结构分析
Vector autoregressions (VARs) with multivariate stochastic volatility are widely used for structural analysis. Often the structural model identified through economically meaningful restrictions--e.g., sign restrictions--is supposed to be independent of how the dependent variables are ordered. But since the reduced-form model is not order invariant, results from the structural analysis depend on the order of the variables. We consider a VAR based on the factor stochastic…