科学研究

俞学文，复旦大学管理学院应用经济学系副教授，美国麻省理工学院访问学者。中国科学技术大学统计与金融系学士、硕士，美国普渡大学经济学博士。研究方向为非平稳时间序列计量经济学、贝叶斯计量、金融科技。研究成果发表于Journal of Econometrics, Econometric Theory, Journal of Business and Economic Statistics等，并主持自科基金青年项目和上海市科技委启明星扬帆计划。他的研究成果获2022年英国皇家学会授予的Denis Sargan计量经济学奖。

 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.