Inference for VARs Identified with Sign Restrictions

Frank Schorfheide, Hyungsik Moon (moonr@usc.edu), Eleonora Granziera and Mihye Lee

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
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Citations: View citations in EconPapers (15)

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Related works:
Journal Article: Inference for VARs identified with sign restrictions (2018)
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)
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