Develops an elliptical slice within Gibbs sampler for efficient posterior inference in sign-identified SVARs, enabling large models with over 100 restrictions.
III Large-SV AR with Asymmetric Priors To conclude the appendix, we reproduce the analysis in Section 7.2 using the asymmet- ric priors proposed by Chan (2022)
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Large SVARs
Develops an elliptical slice within Gibbs sampler for efficient posterior inference in sign-identified SVARs, enabling large models with over 100 restrictions.