Arbeitspapier
Narrative restrictions and proxies
We compare two approaches to using information about the signs of structural shocks at specific dates within a structural vector autoregression (SVAR): imposing 'narrative restrictions' (NR) on the shock signs in an otherwise setidentified SVAR; and casting the information about the shock signs as a discretevalued 'narrative proxy' (NP) to point-identify the impulse responses. The NP is likely to be 'weak' given that the sign of the shock is typically known in a small number of periods, in which case the weak-proxy robust confidence intervals in Montiel-Olea et al. (2021) are the natural approach to conducting inference. However, we show both theoretically and via Monte Carlo simulations that these confidence intervals have distorted coverage - which may be higher or lower than the nominal level - unless the sign of the shock is known in a large number of periods. Regarding the NR approach, we show that the prior-robust Bayesian credible intervals from Giacomini et al. (2021a) deliver coverage exceeding the nominal level, but which converges towards the nominal level as the number of NR increases.
- Sprache
-
Englisch
- Erschienen in
-
Series: cemmap working paper ; No. CWP09/22
- Klassifikation
-
Wirtschaft
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Giacomini, Raffaella
Kitagawa, Toru
Read, Matthew
- Ereignis
-
Veröffentlichung
- (wer)
-
Centre for Microdata Methods and Practice (cemmap)
- (wo)
-
London
- (wann)
-
2022
- DOI
-
doi:10.47004/wp.cem.2022.0922
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Giacomini, Raffaella
- Kitagawa, Toru
- Read, Matthew
- Centre for Microdata Methods and Practice (cemmap)
Entstanden
- 2022
Ähnliche Objekte (12)
Narrative restrictions and proxies
Narrative sign restrictions for SVARs
Price, profits, proxies, and production
Prices, profifits, proxies, and production
Profit Shifting and FDI Restrictions
Benchmarking Liquidity Proxies: Accounting for Dynamics and Frequency Issues
Current unemployment variance decomposition and consequences of using proxies
Free Sky and Clouds of Restrictions
Diffusion index models and index proxies: Recent results and new directions
Measurement matters: Input price proxies and bank efficiency in Germany
Balanced Growth and Empirical Proxies of the Consumption-Wealth Ratio
Underidentified SVAR Models: A Framework for Combining Short and Long-Run Restrictions with Sign-Restrictions
Narrative restrictions and proxies
Narrative sign restrictions for SVARs
Price, profits, proxies, and production
Prices, profifits, proxies, and production
Profit Shifting and FDI Restrictions
Benchmarking Liquidity Proxies: Accounting for Dynamics and Frequency Issues
Current unemployment variance decomposition and consequences of using proxies
Free Sky and Clouds of Restrictions
Diffusion index models and index proxies: Recent results and new directions
Measurement matters: Input price proxies and bank efficiency in Germany
Balanced Growth and Empirical Proxies of the Consumption-Wealth Ratio
Underidentified SVAR Models: A Framework for Combining Short and Long-Run Restrictions with Sign-Restrictions
Narrative restrictions and proxies
Narrative sign restrictions for SVARs
Price, profits, proxies, and production
Prices, profifits, proxies, and production
Profit Shifting and FDI Restrictions
Benchmarking Liquidity Proxies: Accounting for Dynamics and Frequency Issues
Current unemployment variance decomposition and consequences of using proxies
Free Sky and Clouds of Restrictions
Diffusion index models and index proxies: Recent results and new directions
Measurement matters: Input price proxies and bank efficiency in Germany
Balanced Growth and Empirical Proxies of the Consumption-Wealth Ratio