Sign Restrictions in Structural Vector Autoregressions: A Critical Review

Renee Fry-McKibbin and Adrian Pagan

No 57, NCER Working Paper Series from National Centre for Econometric Research

Abstract: The paper provides a review of the estimation of structural VARs with sign restrictions. It is shown how sign restrictions solve the parametric identification problem present in structural systems but leave the model identification problem unresolved. A market and a macro model are used to illustrate these points. Suggestions have been made on how to find a unique model. These are reviewed, along with some of the difficulties that can arise in how one is to use the impulse responses found with sign restrictions.

Keywords: Structural Vector Autoregressions; New Keynesian Model; Sign Restrictions (search for similar items in EconPapers)
JEL-codes: C32 C51 E32 (search for similar items in EconPapers)
Date: 2010-07-28
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (21)

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Related works:
Journal Article: Sign Restrictions in Structural Vector Autoregressions: A Critical Review (2011)
Working Paper: Sign Restrictions in Structural Vector Autoregressions: A Critical Review (2010)
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