Inference for VARs identified with sign restrictions

Artikel

There is a fast growing literature that set-identifies structural vector autoregressions (SVARs) by imposing sign restrictions on the responses of a subset of the endogenous variables to a particular structural shock (sign-restricted SVARs). Most methods that have been used to construct pointwise coverage bands for impulse responses of sign-restricted SVARs are justified only from a Bayesian perspective. This paper demonstrates how to formulate the inference problem for sign-restricted SVARs within a moment-inequality framework. In particular, it develops methods of constructing confidence bands for impulse response functions of sign-restricted SVARs that are valid from a frequentist perspective. The paper also provides a comparison of frequentist and Bayesian coverage bands in the context of an empirical application-the former can be substantially wider than the latter.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Quantitative Economics ; ISSN: 1759-7331 ; Volume: 9 ; Year: 2018 ; Issue: 3 ; Pages: 1087-1121 ; New Haven, CT: The Econometric Society

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
• Subject: Bayesian inference ; frequentist inference ; set-identified models ; sign restrictions ; structural VARs

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Granziera, Eleonora ; Moon, Hyungsik Roger ; Schorfheide, Frank
• Event: Veröffentlichung
• (who): The Econometric Society
• (where): New Haven, CT
• (when): 2018

Further information

• DOI: doi:10.3982/QE978
• Handle: http://hdl.handle.net/10419/217123
• Last update: 10.03.2025, 11:43 AM CET