Title: Large Bayesian VARs with many structural restrictions
Authors: Joshua Chan - Purdue University (United States) [presenting]
Christian Matthes - Indiana University (United States)
Xuewen Yu - Purdue University (United States)
Abstract: Large Bayesian VARs are increasingly used in macroeconomic analysis. But identifying large models using many popular structural restrictions, such as sign restrictions, remains practically infeasible. We develop a new approach to estimate large Bayesian VARs identified using a large number of signs and other structural restrictions. The methodology is illustrated using a 35-variable VAR with sign and ranking restrictions to identify 8 structural shocks, namely, demand, investment, financial, monetary policy, government spending, technology, labor supply and wage bargaining.