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Efficient algorithms for Bayesian estimation of Structural Vector Autoregressive (SVAR) models via Markov chain Monte Carlo methods. A wide range of SVAR models is considered, including homo- and heteroskedastic specifications and those with non-normal structural shocks. The heteroskedastic SVAR model setup is similar as in Woźniak & Droumaguet (2015) doi:10.13140/RG.2.2.19492.55687 and Lütkepohl & Woźniak (2020) doi:10.1016/j.jedc.2020.103862. The sampler of the structural matrix follows Waggoner & Zha (2003) doi:10.1016/S0165-1889(02)00168-9, whereas that for autoregressive parameters follows Chan, Koop, Yu (2022)
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bsvars.github.io/bsvars/ | |
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