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Estimation is performed via an efficient Gibbs sampler that scales well with dimensionality, and we introduce an estimator of the deviance information criterion to facilitate model comparison, including the evaluation of overidentifying economic restrictions. The model handles high-dimensional systems through a factor structure in the reduced-form errors, allowing the number of structural shocks to be substantially smaller than the number of observed variables while explicitly accounting for idiosyncratic noise. Experiments with simulated data show that ignoring this noise can lead to biased estimates. An empirical application to US monetary policy demonstrates that expanding the information set can materially affect structural inference.<\/jats:p>","DOI":"10.1093\/ectj\/utag020","type":"journal-article","created":{"date-parts":[[2026,7,13]],"date-time":"2026-07-13T11:24:24Z","timestamp":1783941864000},"source":"Crossref","is-referenced-by-count":0,"title":["A large non-Gaussian SVAR with application to monetary policy"],"prefix":"10.1093","author":[{"given":"Jan","family":"Pr\u00fcser","sequence":"first","affiliation":[{"name":"TU Dortmund, Fakult\u00e4t Statistik , Dortmund ,","place":["Germany"]}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"286","published-online":{"date-parts":[[2026,7,13]]},"reference":[{"key":"2026081908311739800_bib1","first-page":"111","article-title":"Statistical inference in factor analysis","volume-title":"Proceedings of the Berkeley Symposium on Mathematical Statistics and Probability","author":"Anderson","year":"1956"},{"issue":"10","key":"2026081908311739800_bib2","doi-asserted-by":"crossref","first-page":"2802","DOI":"10.1257\/aer.20161852","article-title":"Narrative sign restrictions for SVARs","volume":"108","author":"Antol\u00edn-D\u00edaz","year":"2018","journal-title":"American Economic Review"},{"key":"2026081908311739800_bib3","doi-asserted-by":"crossref","first-page":"422","DOI":"10.1002\/jae.3019","article-title":"Statistically identified structural var model with potentially skewed and fat-tailed errors","volume":"39","author":"Anttonen","year":"2024","journal-title":"Journal of Applied Econometrics"},{"key":"2026081908311739800_bib4","doi-asserted-by":"crossref","first-page":"135","DOI":"10.1111\/1468-0262.00392","article-title":"Inferential theory for factor models of large dimensions","volume":"71","author":"Bai","year":"2003","journal-title":"Econometrica"},{"key":"2026081908311739800_bib5","doi-asserted-by":"crossref","DOI":"10.2139\/ssrn.4635969","article-title":"What drives core inflation? 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