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Juan F. Rubio-Ramirez, Emory University Print
Monday, 25 March 2019, 16:30 - 18:00

Joint with ULB, KULeuven, UCLouvain and NBB

Juan F. Rubio Ramirez, Emory University, FRB Atlanta

Inference in Bayesian Proxy-SVARs

 Abstract : Motivated by the increasing use of external instruments to identify structural vector autoregressions (SVARs), we develop algorithms for exact finite sample inference in this class of time series models, commonly known as proxy-SVARs. Our algorithms make independent draws from the normal-generalizednormal family of conjugate posterior distributions over the structural parameterization of a proxy-SVAR. Importantly, our techniques can handle the case of set identification and hence they can be used to relax the additional exclusion restrictions unrelated to the external instruments often imposed to facilitate inference when more than one instrument is used to identify more than one equation as in Mertens and Montiel-Olea (2018).

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 Please reply by email to This e-mail address is being protected from spam bots, you need JavaScript enabled to view it if you wish to participate to this seminar or if you want to have an appointment with the speaker. Due to security measures it is necessary that you register before Friday noon March22nd. Without registration, you will not be allowed in the seminar room.  

 

Location: NBB auditorium A1
Contact: This e-mail address is being protected from spam bots, you need JavaScript enabled to view it

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