Partial Identification of Structural Vector Autoregressions with Non-Centred Stochastic Volatility
非中心化随机波动率下结构向量自回归的部分识别
We consider structural vector autoregressions that are identified through stochastic volatility under Bayesian estimation. Three contributions emerge from our exercise. First, we show that a non-centred parameterization of stochastic volatility yields a marginal prior for the conditional variances of structural shocks that is centred on homoskedasticity, with strong shrinkage and heavy tails -- unlike the common centred parameterization. This feature makes it well suited for…