A differentiable reparameterization of inequality restrictions in sign-restricted SVARs enables efficient HMC posterior sampling with lower serial correlation, higher effective sample sizes, and shorter run times in high-dimensional settings.
metric” of the algorithm. Given the momentum variables, we define the Hamiltonian as H(θ,ρ) =−logp(θ)−logp(ρ)(C.1) =V(θ) +T(ρ). The termV(θ)is the “potential energy,
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Inference in Tightly Identified and Large-Scale Sign-Restricted SVARs
A differentiable reparameterization of inequality restrictions in sign-restricted SVARs enables efficient HMC posterior sampling with lower serial correlation, higher effective sample sizes, and shorter run times in high-dimensional settings.