EconPapers    
Economics at your fingertips  
 

Inference for VARs Identified with Sign Restrictions

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

No 8432, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: There is a fast growing literature that partially 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). To date, the methods that have been used are only justified from a Bayesian perspective. This paper develops methods of constructing error bands for impulse response functions of sign-restricted SVARs that are valid from a frequentist perspective. We also provide a comparison of frequentist and Bayesian error bands in the context of an empirical application--the former can be twice as wide as the latter.

Keywords: Bayesian Inference; Frequentist Inference; Partially Identified Models; Sign Restrictions; Structural VARs (search for similar items in EconPapers)
JEL-codes: C1 C32 (search for similar items in EconPapers)
Date: 2011-06
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8) Track citations by RSS feed

Downloads: (external link)
http://www.cepr.org/active/publications/discussion_papers/dp.php?dpno=8432 (application/pdf)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at subscribers@cepr.org

Related works:
Journal Article: Inference for VARs identified with sign restrictions (2018) Downloads
Working Paper: 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
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:cpr:ceprdp:8432

Ordering information: This working paper can be ordered from
http://www.cepr.org/ ... ers/dp.php?dpno=8432

Access Statistics for this paper

More papers in CEPR Discussion Papers from C.E.P.R. Discussion Papers Centre for Economic Policy Research, 33 Great Sutton Street, London EC1V 0DX.
Bibliographic data for series maintained by ().

 
Page updated 2019-09-14
Handle: RePEc:cpr:ceprdp:8432