Sign Restrictions with a New-Keynesian Macro Model: Results From a “Quasi-Agnostic” Identification Procedure

Gregorio Impavido

No 2025/162, IMF Working Papers from International Monetary Fund

Abstract: This paper proposes a “quasi-agnostic” sign restriction procedure to identify structural shocks in frequentist structural vector autoregression (SVAR) models. It argues that low acceptance rates, inherent to agnostic sign restriction procedures, are not necessarily an indication of model misspecification. They can be low because agnostic procedures fail to exploit the ex ante priors on the sign of responses of macro variables to structural shocks.

Keywords: VARs; SVARs; parametric restrictions; sign restrictions; sign restriction procedure; parametric restriction; acceptance rate; standard deviation demand shock; output gap response; price puzzle; Structural vector autoregression; Output gap; Inflation; Central bank policy rate; Neoclassical theory (search for similar items in EconPapers)
Pages: 20
Date: 2025-08-15
New Economics Papers: this item is included in nep-ecm and nep-ets
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.imf.org/external/pubs/cat/longres.aspx?sk=569185 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:imf:imfwpa:2025/162

Ordering information: This working paper can be ordered from
http://www.imf.org/external/pubs/pubs/ord_info.htm

Access Statistics for this paper

More papers in IMF Working Papers from International Monetary Fund International Monetary Fund, Washington, DC USA. Contact information at EDIRC.
Bibliographic data for series maintained by Akshay Modi ().