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Sign Restrictions with a New-Keynesian Macro Model : Results From a “Quasi-Agnostic” Identification Procedure / Gregorio Impavido.
- Format:
- Book
- Government document
- Author/Creator:
- Impavido, Gregorio.
- Series:
- IMF Working Papers; Working Paper ; No. 2025/162
- IMF Working Papers
- Language:
- English
- Physical Description:
- 1 online resource (20 pages)
- Place of Publication:
- Washington, D.C. : International Monetary Fund, 2025.
- Summary:
- This paper proposes a “quasi-agnostic” sign restriction procedure to identify structural shocks in frequentist structural vector autoregression (SVAR) models. It argues that low acceptance rates, inherent to agnostic sign restriction procedures, are not necessarily an indication of model misspecification. They can be low because agnostic procedures fail to exploit the ex ante priors on the sign of responses of macro variables to structural shocks.
- Notes:
- Description based on print version record.
- ISBN:
- 979-82-290-2180-7
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