Arbeitspapier
Inference based on SVARs identified with sign and zero restrictions: Theory and applications
Are optimism shocks an important source of business cycle fluctuations? Are deficit-financed tax cuts better than deficit-financed spending to increase output? These questions have been previously studied using structural vector autoregressions (SVAR) identified with sign and zero restrictions and the answers have been positive and definite in both cases. Although the identification of SVARs with sign and zero restrictions is theoretically attractive because it allows the researcher to remain agnostic with respect to the responses of the key variables of interest, we show that current implementation of these techniques does not respect the agnosticism of the theory. These algorithms impose additional sign restrictions on variables that are seemingly unrestricted that bias the results and produce misleading confidence intervals. We provide an alternative and efficient algorithm that does not introduce any additional sign restriction, hence preserving the agnosticism of the theory. Without the additional restrictions, it is hard to support the claim that either optimism shocks are an important source of business cycle fluctuations or deficit-financed tax cuts work best at improving output. Our algorithm is not only correct but also faster than current ones.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 2014-1
- Klassifikation
-
Wirtschaft
Bayesian Analysis: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Monetary Policy, Central Banking, and the Supply of Money and Credit: General
- Thema
-
identification
sign restrictions
simulation
Inferenzstatistik
Algorithmus
Theorie
Finanzpolitik
Schock
Konjunktur
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Arias, Jonas E.
Rubio-Ramírez, Juan F.
Waggoner, Daniel F.
- Ereignis
-
Veröffentlichung
- (wer)
-
Federal Reserve Bank of Atlanta
- (wo)
-
Atlanta, GA
- (wann)
-
2014
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Arias, Jonas E.
- Rubio-Ramírez, Juan F.
- Waggoner, Daniel F.
- Federal Reserve Bank of Atlanta
Entstanden
- 2014
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