Algorithm-Driven SVARs: Navigating the Wilderness of Big Data
算法驱动的结构 VAR：在大数据中选择信息集
Every SVAR result is conditional on two choices: the restrictions that identify the shock and the variables on which they operate. The literature disciplines the first; the second is chosen by hand. We develop a Bayesian methodology that constructs information sets, uses an out-of-sample criterion, and retains the largest system it admits. Under recursive identification, output rises with housing production rather than household credit alone. For monetary policy, an…