MONTESVAR_MH—Monte Carlo Integration of SVAR using RW M-H

[TomDoan]

MONTESVAR_MH.RPF is an example of Monte Carlo integration of a structural VAR (SVAR) using Random Walk Metropolis.

Detailed Description

[abi]

Dear Tom,
Is there any reference to a paper/textbook that uses the Monte Carlo Integration of SVAR model?

[TomDoan]

Dear Tom,
Is there any reference to a paper/textbook that uses the Monte Carlo Integration of SVAR model?

Tao Zha has several with different types of models.

Note that different SVAR's have very different properties and can require very a great deal of experimentation to come up with a technique that works.