You are kindly invited to attend the Eesti Pankʼs research seminar in Webex on 7 November at 11:00 am. During this seminar, Francesca Loria (Board of Governors of the Federal Reserve System) will present on “Flexible Priors and Restrictions for Structural Vector Autoregressions”.
This study introduces an innovative approach for estimating Bayesian vector autoregressions (VAR) in structural form, enhancing flexibility in incorporating various priors and identification strategies. The method accommodates zero, sign, and narrative restrictions, as well as identification via proxy variables, offering a unified framework for replicating prominent strategies in the VAR literature. Unlike existing methods, it directly elicits informative priors and restrictions on structural parameters, ensuring transparency and avoiding unintended beliefs. The approach is versatile, scalable to larger models and eliminates the need for separate algorithms for different identification schemes. By employing endogenous priors, it overcomes issues related to non-uniform priors over identified sets, extending beyond impulse responses. Additionally, the methodology allows for imposing (in-)equality restrictions on VAR parameters, providing a robust means to incorporate strong beliefs. Overall, this user-friendly framework addresses key challenges in the current literature, offering a valuable tool for empirical researchers, with the method accessible through the RISE toolbox.
Co-authors of the paper:
Christiane Baumeister (University of Notre Dame) and Junior Maih (Norges Bank)
Meeting information in Webex:
https://eestipank.webex.com/eestipank/j.php?MTID=mce3a338ee6164833d9cede1d167df727
Meeting number: 2741 483 6629
Password: dmTBJ3fNE82 (36825336, from phones and video systems)