RDP 2025-03: Fast Posterior Sampling in Tightly Identified SVARs Using ‘Soft’ Sign Restrictions Appendix A: Proofs

Proof of Proposition 1. The assumption on T ensures that 𝔼 f [ T( Z ) ] and 𝔼 Δ [ T( Z ) ] exist. We can write

(A1) 𝔼 f [ T( Z ) ]− 𝔼 Δ [ T( Z ) ]≤ ∫ | T( Z ) || f( Z| Q( Z )∈𝒬( ϕ|S ) )− f Δ ( Z ) |  dZ

Denote the normalising constants for f( Z| Q( Z )∈𝒬( ϕ|S ) ) and f Δ ( Z ) by Cf and C Δ , respectively. Without loss of generality, assume s = 1 so there is a single sign restriction S( ϕ,Q )≥0 . The right-hand side of Equation (A1) can be written as

(A2) C f −1 ∫ | T( Z ) | f Z ( Z ) 𝟙( ϕ,Q( Z ) )≥0)− 1 1+exp( −S( ϕ,Q( Z ) )/Δ ) dZ + C f − C Δ C f ∫ | T( Z ) | f Δ ( Z )  dZ

Under Assumption 1,

(A3) 𝟙( S( ϕ,Q( Z ) )≥0 )− 1 1+exp( −S( ϕ,Q( Z ) )/Δ ) ≤K

The first term in Equation (A2) therefore goes to zero as Δ→0 by the monotone convergence theorem. In the second term of Equation (A2),

(A4) | C f − C Δ |≤ ∫ f Z ( Z ) 𝟙( S( ϕ,Q( Z ) )≥0 )− 1 1+exp( −S( ϕ,Q( Z ) )/Δ ) dZ

which similarly goes to zero.