Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/153925
Authors: 
Kociecki, Andrzej
Rubaszek, Michał
Ca' Zorzi, Michele
Year of Publication: 
2012
Series/Report no.: 
ECB Working Paper 1492
Abstract: 
The paper provides a novel Bayesian methodological framework to estimate structural VAR (SVAR) models with recursive identification schemes that allows for the inclusion of over-identifying restrictions. The proposed framework enables the researcher to (i) elicit the prior on the non-zero contemporaneous relations between economic variables and to (ii) derive an analytical expression for the posterior distribution and marginal data density. We illustrate our methodological framework by estimating a backward looking New-Keynesian model taking into account prior beliefs about the contemporaneous coefficients in the Phillips curve and Taylor rule.
Subjects: 
Bayesian inference
overidentifying restrictions
Structural VAR
JEL: 
C11
C32
E47
Document Type: 
Working Paper

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