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Inference for VARs Identified with Sign Restrictions

Eleonora Granziera (), Hyungsik Moon () and Frank Schorfheide ()

Papers from arXiv.org

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: 2017-09, Revised 2018-02
New Economics Papers: this item is included in nep-ets and nep-mac
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http://arxiv.org/pdf/1709.10196 Latest version (application/pdf)

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