A New Method for Working With Sign Restrictions in SVARs

Sam Ouliaris and Adrian Pagan

No 105, NCER Working Paper Series from National Centre for Econometric Research

Abstract: Structural VARs are used to compute impulse responses to shocks. One problem that has arisen involves the information needed to perform this task i.e. how are the shocks to separated into those representing technology, monetary effects etc. Increasingly the signs of impulse responses are used for this task. However it is often desirable to impose some parametric assumption as well e.g. that monetary shocks have no long-run impact on output. Existing methods for combining sign and parametric restrictions are not well developed. In this paper we provide a relatively simple way to allow for these combinations and show how it works in a number of different contexts.

Keywords: VAR (search for similar items in EconPapers)
Pages: 31 pages
Date: 2015-05-11
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:qut:auncer:2015_03

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