Inference for VARs identified with sign restrictions

Eleonora Granziera, Hyungsik Roger Moon, Frank Schorfheide

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

There is a fast growing literature that set-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). Most methods that have been used to construct pointwise coverage bands for impulse responses of sign-restricted SVARs are justified only from a Bayesian perspective. This paper demonstrates how to formulate the inference problem for sign-restricted SVARs within a moment-inequality framework. In particular, it develops methods of constructing confidence bands for impulse response functions of sign-restricted SVARs that are valid from a frequentist perspective. The paper also provides a comparison of frequentist and Bayesian coverage bands in the context of an empirical application—the former can be substantially wider than the latter.

Original languageEnglish
Pages (from-to)1087-1121
Number of pages35
JournalQuantitative Economics
Volume9
Issue number3
DOIs
Publication statusPublished - 2018 Nov 1

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Structural vector autoregression
Sign restrictions
Inference
Endogenous variables
Impulse response
Moment inequalities
Structural shocks
Impulse response function
Confidence

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

Cite this

Granziera, Eleonora ; Moon, Hyungsik Roger ; Schorfheide, Frank. / Inference for VARs identified with sign restrictions. In: Quantitative Economics. 2018 ; Vol. 9, No. 3. pp. 1087-1121.
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Inference for VARs identified with sign restrictions. / Granziera, Eleonora; Moon, Hyungsik Roger; Schorfheide, Frank.

In: Quantitative Economics, Vol. 9, No. 3, 01.11.2018, p. 1087-1121.

Research output: Contribution to journalArticle

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