Speaker: Dr. 俞学文 (Xuewen Yu)

Title: Large Structural VARs with Multiple Sign and Ranking Restrictions

Schedule: Dec 6, Wed 1:30-3:00 PM

Location: 诚明楼 (Chengming Hall）RM 315

Introduction: 俞学文，复旦大学管理学院青年副研究员，博士毕业于美国普渡大学。研究方向为计量经济学，实证金融，实证宏观，并在国际顶级或知名期刊 Journal of Business & Economic Statistics, Journal of Econometrics,The Econometrics Journal，Journal of Time Series Analysis，Journal of Economic Dynamics and Control 发表数篇文章。个人网页https://xuewentony.github.io/xuewenyu.github.io/

Abstract: Large VARs are increasingly used in structural analysis as a unified framework to study the impacts of multiple structural shocks simultaneously. However, the concurrent identification of multiple shocks using sign and ranking restrictions poses significant practical challenges to the point where existing algorithms cannot be used with such large VARs. To address this, we introduce a new numerically efficient algorithm that facilitates the estimation of impulse responses and related measures in large structural VARs identified with a large number of structural restrictions on impulse responses. The methodology is illustrated using a 35-variable VAR with over 100 sign and ranking restrictions to identify 8 structural shocks.