Inference for VARs identified with sign restrictions

Eleonora Granziera, Hyungsik Moon () and Frank Schorfheide

Quantitative Economics, 2018, vol. 9, issue 3, 1087-1121

Abstract: There is a fast growing literature that set‐identifies structural vector autoregressions (SVARs) by imposing sign restrictions on the responses of a subset of the endogenous variables to a particular structural shock (sign‐restricted SVARs). Most methods that have been used to construct pointwise coverage bands for impulse responses of sign‐restricted SVARs are justified only from a Bayesian perspective. This paper demonstrates how to formulate the inference problem for sign‐restricted SVARs within a moment‐inequality framework. In particular, it develops methods of constructing confidence bands for impulse response functions of sign‐restricted SVARs that are valid from a frequentist perspective. The paper also provides a comparison of frequentist and Bayesian coverage bands in the context of an empirical application—the former can be substantially wider than the latter.

Date: 2018
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Citations: View citations in EconPapers (36)

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https://doi.org/10.3982/QE978

Related works:
Working Paper: Inference for VARs Identified with Sign Restrictions (2018)
Working Paper: Inference for VARs Identified with Sign Restrictions (2011)
Working Paper: Inference for VARs identified with sign restrictions (2011)
Working Paper: Inference for VARs Identified with Sign Restrictions (2011)
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