Inference for VARs Identified with Sign Restrictions
Granziera, Eleonora; Moon, Hyungsik Roger; Schorfheide, Frank (15.11.2018)
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Numero3 ; November ; 2018
JulkaisijaThe Econometric Society
Julkaisun pysyvä osoite onhttps://urn.fi/URN:NBN:fi:bof-201901091020
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.
Published in NBER Working Papers 17140 (2011).