Joshua Chan, Christian Matthes, Xuewen Yu
arXiv 26 Mar 2025 · Econometrics · publishedQuantitative Economics (2026) · 1 citations (OpenAlex)
arXiv:2503.20668 · PDF · DOI · OpenAlex · Extracted main text
Large VARs are increasingly used in structural analysis as a unified framework to study the impacts of multiple structural shocks simultaneously. However, the concurrent identification of multiple shocks using sign and ranking restrictions poses significant practical challenges to the point where existing algorithms cannot be used with such large VARs. To address this, we introduce a new numerically efficient algorithm that facilitates the estimation of impulse responses and related measures in large structural VARs identified with a large number of structural restrictions on impulse responses. The methodology is illustrated using a 35-variable VAR with over 100 sign and ranking restrictions to identify 8 structural shocks.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Chan (2022) Asymmetric conjugate priors for large Bayesian VARs self | 1.000 | 6 | 3 | 100% |
| 2 | Rubio-Ramirez, Waggoner, and Zha (2010) Structural vector autoregressions: Theory of identification and algorithms for inference | 0.965 | 20 | 4 | 90% |
| 3 | Uhlig (2005) What are the effects of monetary policy on output? Results from an agnostic identification procedure | 0.965 | 10 | 4 | 90% |
| 4 | Furlanetto, Ravazzolo, and Sarferaz (2019) Identification of financial factors in economic fluctuations | 0.928 | 4 | 3 | 100% |
| 5 | Read (2022) Algorithms for inference in SVARs identified with sign and zero restrictions | 0.920 | 9 | 4 | 78% |
| 6 | Amir-Ahmadi and Drautzburg (2021) Identification and inference with ranking restrictions | 0.811 | 4 | 2 | 100% |
| 7 | Crump, Eusepi, Giannone, Qian, and Sbordone (2021) A large Bayesian VAR of the United States economy | 0.811 | 4 | 2 | 100% |
| 8 | Baumeister and Hamilton (2015) Sign restrictions, structural vector autoregressions, and useful prior information | 0.644 | 2 | 2 | 100% |
| 9 | Bruns and Piffer (2023) A new posterior sampler for Bayesian structural vector autoregressive models | 0.644 | 2 | 2 | 100% |
| 10 | Canova and Nicolo (2002) Monetary disturbances matter for business fluctuations in the G-7 | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 34 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Large structural VARs with multiple linear shock and impact inequality restrictions | 0.693 | 5 | 1 |
| 2 | Structural Analysis of Vector Autoregressive Models | 0.405 | 1 | 1 |
| 3 | A Nonparametric Approach to Augmenting a Bayesian VAR with Nonlinear Factors | 0.405 | 1 | 1 |