Jonas E. Arias, Juan F. Rubio-Ramírez, Minchul Shin
arXiv 29 May 2025 · Econometrics
arXiv:2505.23542 · PDF · DOI · OpenAlex · Extracted main text
We develop a new algorithm for inference based on structural vector autoregressions (SVARs) identified with sign restrictions. The key insight of our algorithm is to break apart from the accept-reject tradition associated with sign-identified SVARs. We show that embedding an elliptical slice sampling within a Gibbs sampler approach can deliver dramatic gains in speed and turn previously infeasible applications into feasible ones. We provide a tractable example to illustrate the power of the elliptical slice sampling applied to sign-identified SVARs. We demonstrate the usefulness of our algorithm by applying it to a well-known small-SVAR model of the oil market featuring a tight identified set, as well as to a large SVAR model with more than 100 sign restrictions.
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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 | Kilian, Lutz and Murphy, Daniel P (2014) The Role of Inventories and Speculative Trading in the Global Market for Crude Oil | 1.000 | 13 | 3 | 100% |
| 2 | Arias, Jonas E and Rubio-Ramírez, Juan F and Waggoner, Daniel F (2025) Uniform Priors for Impulse Responses self | 0.950 | 7 | 4 | 86% |
| 3 | Chan, Joshua C C and Christian Matthes and Xuewen Yu (2025) Large Structural VARs with Multiple Sign and Ranking Restrictions | 0.944 | 25 | 5 | 84% |
| 4 | Crump, Richard K and Eusepi, Stefano and Giannone, Domenico and Qian… (2025) A Large Bayesian VAR of the United States Economy | 0.874 | 6 | 2 | 100% |
| 5 | Hasenpflug, Mareike and Telezhnikov, Viacheslav and Rudolf, Daniel (2025) Reversibility of Elliptical Slice Sampling Revisited | 0.874 | 5 | 2 | 100% |
| 6 | Rubio-Ramírez, Juan F. and Waggoner, Daniel F. and Zha, Tao (2010) Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference | 0.843 | 3 | 3 | 100% |
| 7 | Kilian, Lutz and Murphy, Daniel P Why Agnostic Sign Restrictions Are Not Enough: Understanding the Dynamics of Oil Market VAR Models | 0.843 | 3 | 3 | 100% |
| 8 | Read, Matthew and Zhu, Dan (2025) Fast Posterior Sampling in Tightly Identified SVARs Using "Soft" Sign Restrictions | 0.843 | 3 | 3 | 100% |
| 9 | Uhlig, H What Are the Effects of Monetary Policy on Output? Results from an Agnostic Identification Procedure | 0.843 | 3 | 3 | 100% |
| 10 | Chan, Joshua C. C (2022) Asymmetric Conjugate Priors for Large Bayesian VARs | 0.817 | 11 | 6 | 55% |
Showing the top 10 of 32 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Inference in Tightly Identified and Large-Scale Sign-Restricted SVARs | 1.000 | 21 | 5 |