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Inference for VARs identified with sign restrictions

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

No 11-20, Working Papers from Federal Reserve Bank of Philadelphia

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. The authors 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: Vector autoregression; Econometric models (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2011
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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
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