Block recursion and structural vector autoregressions

摘要

In applications of structural VAR modeling, finite-sample properties may be difficult to obtain when certain identifying restrictions are imposed on lagged relationships. As a result, even though imposing some lagged restrictions makes economic sense, lagged relationships are often left unrestricted to make statistical inference more convenient. This paper develops block Monte Carlo methods to obtain both maximum likelihood estimates and exact Bayesian inference when certain types of restrictions are imposed on the lag structure. These methods are applied to two examples to illustrate the importance of imposing restrictions on lagged relationships.