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Inference for VARs Identified with Sign Restrictions

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

No 17140, NBER Working Papers from National Bureau of Economic Research, Inc

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.

JEL-codes: C1 C32 (search for similar items in EconPapers)
Date: 2011-06
Note: EFG ME
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Published as Eleonora Granziera & Hyungsik Roger Moon & Frank Schorfheide, 2018. "Inference for VARs identified with sign restrictions," Quantitative Economics, Econometric Society, vol. 9(3), pages 1087-1121, November.

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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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