Working Paper
Large SVARs
Abstract: We develop a new algorithm for inference in structural vector autoregressions (SVARs) identified with sign restrictions that can accommodate big data and modern identification schemes. The key innovation of our approach is to move beyond the traditional accept-reject framework commonly used in sign-identified SVARs. We show that embedding the elliptical slice sampling within a Gibbs sampler can deliver dramatic gains in computational speed and render previously infeasible applications tractable. To illustrate the approach in the context of sign-identified SVARs, we use a tractable example. We further assess the performance of our algorithm through two applications: a well-known small-SVAR model of the oil market featuring a tight identified set, and a large SVAR model with more than ten shocks and 100 sign restrictions.
JEL Classification: C32;
https://doi.org/10.21799/frbp.wp.2026.04
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Bibliographic Information
Provider: Federal Reserve Bank of Philadelphia
Part of Series: Working Papers
Publication Date: 2025-01-22
Number: 26-04