00000nam 2200000zi 4500 9.951211 CaOODSP 20250520115031 m o d f cr |n||||||||| 250520t20252025oncd ob f|0| 0 eng d CaOODSP eng rda CaOODSP eng eng fre n-cn--- FB3-5/2025-14E-PDF Lütkepohl, Helmut, author. Partial identification of heteroskedastic structural vector autoregressions : theory and Bayesian inference / Helmut Lütkepohl, Fei Shang, Luis Uzeda, Tomasz Woźniak. [Ottawa] : Bank of Canada = Banque du Canada, 2025. ©2025 1 online resource (ii, 61 pages) : charts. text txt rdacontent computer c rdamedia online resource cr rdacarrier Staff working paper = Document de travail du personnel, 1701-9397 ; 2025-14 "Last updated: May 9, 2025." Includes bibliographical references. "We consider structural vector autoregressions that are identified through stochastic volatility. Our analysis focuses on whether a particular structural shock can be identified through heteroskedasticity without imposing any sign or exclusion restrictions. Three contributions emerge from our exercise: (i) a set of conditions that ensures the matrix containing structural parameters is either partially or globally unique; (ii) a shrinkage prior distribution for the conditional variance of structural shocks, centred on the hypothesis of homoskedasticity; and (iii) a statistical procedure for assessing the validity of the conditions outlined in (i). Our shrinkage prior ensures that the evidence for identifying a structural shock relies predominantly on the data and is less influenced by the prior distribution. We demonstrate the usefulness of our framework through a fiscal structural model and a series of simulation exercises"--Abstract, page ii. Includes abstract in French. Economics Statistical methods. Fiscal policy. Économie politique Méthodes statistiques. Politique fiscale. Bank of Canada, author. Staff working paper (Bank of Canada) 2025-14. (CaOODSP)9.806221 PDF 1.48 MB https://publications.gc.ca/collections/collection_2025/banque-bank-canada/FB3-5-2025-14-eng.pdf