Comment on Giacomini, Kitagawa and Read’s ‘Narrative Restrictions and Proxies’

Lutz Kilian

No 16818, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: In a series of recent studies, Raffaella Giacomini and Toru Kitagawa have developed an innovative new methodological approach to estimating sign-identified structural VAR models that seeks to build a bridge between Bayesian and frequentist approaches in the literature. Their latest paper with Matthew Read contains thought-provoking new insights about modeling narrative restrictions in sign-identified structural VAR models. My discussion puts their contribution into the context of Giacomini and Kitagawa’s broader research agenda and relates it to the larger literature on estimating structural VAR models subject to sign restrictions.

Keywords: Structural var; Single prior; Multiple prior; Posterior; Joint inference; Impulse response; Narrative restrictions (search for similar items in EconPapers)
JEL-codes: C11 C32 C52 (search for similar items in EconPapers)
Date: 2021-12
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