Bayesian analysis of recursive SVAR models with overidentifying restrictions

Arbeitspapier

The paper provides a novel Bayesian methodological framework to estimate structural VAR (SVAR) models with recursive identification schemes that allows for the inclusion of over-identifying restrictions. The proposed framework enables the researcher to (i) elicit the prior on the non-zero contemporaneous relations between economic variables and to (ii) derive an analytical expression for the posterior distribution and marginal data density. We illustrate our methodological framework by estimating a backward looking New-Keynesian model taking into account prior beliefs about the contemporaneous coefficients in the Phillips curve and Taylor rule.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: ECB Working Paper ; No. 1492

Classification and Topics

• Classification: Wirtschaft ; Bayesian Analysis: General ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Money and Interest Rates: Forecasting and Simulation: Models and Applications
• Subject: Bayesian inference ; overidentifying restrictions ; Structural VAR

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Kociecki, Andrzej ; Rubaszek, Michał ; Ca' Zorzi, Michele
• Event: Veröffentlichung
• (who): European Central Bank (ECB)
• (where): Frankfurt a. M.
• (when): 2012

Further information

• Handle: http://hdl.handle.net/10419/153925
• Last update: 10.03.2025, 11:43 AM CET