eprintid: 10087228
rev_number: 27
eprint_status: archive
userid: 608
dir: disk0/10/08/72/28
datestamp: 2021-08-23 16:48:40
lastmod: 2021-10-13 23:21:54
status_changed: 2021-08-23 16:48:40
type: working_paper
metadata_visibility: show
creators_name: Giacomini, R
creators_name: Kitagawa, T
creators_name: Read, M
title: Robust Bayesian Inference in Proxy SVARs
ispublished: pub
divisions: UCL
divisions: B03
divisions: C03
divisions: F24
note: This version is the version of record. For information on re-use, please refer to the publisher’s terms and conditions.
abstract: We develop methods for robust Bayesian inference in structural vector autoregressions (SVARs) where the impulse responses or forecast error variance decompositions of interest are set-identified using external instruments (or ‘proxy SVARs’). Existing Bayesian approaches to inference in proxy SVARs require researchers to specify a single prior over the model’s parameters. When parameters are set-identified, a component of the prior is never updated by the data. Giacomini and Kitagawa (2018) propose a method for robust Bayesian inference in set-identifed models that delivers inference about the identified set for the parameter of interest. We extend this approach to proxy SVARs, which allows researchers to relax potentially controversial point-identifying restrictions without having to specify an unrevisable prior. We also explore the effect of instrument strength on posterior inference. We illustrate our approach by revisiting Mertens and Ravn (2013) and relaxing the assumption that they impose to obtain point identification.
date: 2019-07-23
publisher: Institute for Fiscal Studies
official_url: https://doi.org/10.1920/wp.cem.2019.3819
full_text_type: pub
language: eng
verified: verified_manual
elements_id: 1725922
doi: 10.1920/wp.cem.2019.3819
lyricists_name: Giacomini, Raffaella
lyricists_name: Kitagawa, Toru
lyricists_name: Read, Matthew
lyricists_id: RGIAC09
lyricists_id: TKITA87
lyricists_id: MJREA03
actors_name: Kitagawa, Toru
actors_id: TKITA87
actors_role: owner
full_text_status: restricted
series: Cemmap Working Paper
number: 38/19
place_of_pub: London, UK
pages: 41
citation:        Giacomini, R;    Kitagawa, T;    Read, M;      (2019)    Robust Bayesian Inference in Proxy SVARs.                    (Cemmap Working Paper  38/19). Institute for Fiscal Studies: London, UK.      
 
document_url: https://discovery.ucl.ac.uk/id/eprint/10087228/7/Kitagawa_CW3819-Robust-Bayesian-Inference-in-Proxy-SVARs.pdf