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Inference for VARs Identified with Sign Restrictions / Hyungsik Roger Moon, Frank Schorfheide, Eleonora Granziera, Mihye Lee.
- Format:
- Book
- Author/Creator:
- Moon, Hyungsik Roger.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w17140.
- NBER working paper series no. w17140
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2011.
- Summary:
- 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.
- Notes:
- Print version record
- June 2011.
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