A New Method for Working With Sign Restrictions in SVARs
S Ouliaris and
Adrian Pagan ()
No 105, NCER Working Paper Series from National Centre for Econometric Research
Structural VARs are used to compute impulse responses to shocks. One problem that has arisen involves the information needed to perform this task i.e. how are the shocks to separated into those representing technology, monetary effects etc. Increasingly the signs of impulse responses are used for this task. However it is often desirable to impose some parametric assumption as well e.g. that monetary shocks have no long-run impact on output. Existing methods for combining sign and parametric restrictions are not well developed. In this paper we provide a relatively simple way to allow for these combinations and show how it works in a number of different contexts.
Keywords: VAR (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:qut:auncer:2015_03
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