A Gibbs sampler for structural vector autoregressions

By Daniel F. Waggoner, Tao Zha. 2003

162 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/6e4b2302baa6b5c808c37daf31a50d447ae79320

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In Economics and Econometrics

Citations in the corpus

Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference (2010, background): “This class of restrictions includes recursive identification as described by Christiano, Eichenbaum, and Evans (1996) and non-recursive identification as described by Sims (1986), Gordon and Leeper (1994), Bernanke and Mihov (1998), Leeper and Zha (2003), and Sims and Zha (2006b).”
Bayesian stochastic search for VAR model restrictions (2008, background): “Sims and Zha (1998), and Waggoner and Zha (2003) proposed Bayesian analysis based on normal priors on W and U.”
Testing for Granger Causality in Large Mixed-Frequency VARs (2016, unknown): “…properly extend this auxiliary dummy variable approach to the mixed-frequency setup and, thereby, show precisely 10 Sekhposyan et al. (2014) use a Sims-Zha shrinkage prior and the algorithm in Waggoner and Zha (2003) to solve the parameter proliferation problem with Bayesian estimation techniques.”
Effects of US quantitative easing on emerging market economies (2015, unknown): “B.1 Structural VAR for the US As the methods for the Bayesian structural VAR are well described in Sims and Zha (1998), Waggoner and Zha (2003a; 2003b) and Sims and Zha (2006b), we refer readers to these papers for details of estimation methods.”
Large Order-Invariant Bayesian VARs with Stochastic Volatility (2021, methodology): “To implement Step 1, we adapt the sampling approach in Waggoner and Zha (2003) and Villani (2009) to the setting with stochastic volatility.”
Methods for Inference in Large Multiple-Equation Markov-Switching Models (2008, methodology): “Unlike the constant-parameter simultaneous-equation VAR models studied by Waggoner and Zha (2003a), the above conditional posterior density of b j(k) is nonstandard.”
The Nexus of Monetary Policy and Shadow Banking in China (2018, background): “, `) are uniquely determined by the maximum likelihood estimation, which can be executed equation by equation (Waggoner and Zha, 2003).”