Inference for Vars Identified with Sign Restrictions

50 Pages Posted: 20 Jun 2011 Last revised: 28 Jun 2011

See all articles by Hyungsik Roger Moon

Hyungsik Roger Moon

University of Southern California - Department of Economics; USC Dornsife Institute for New Economic Thinking

Frank Schorfheide

University of Pennsylvania - Department of Economics; Centre for Economic Policy Research (CEPR); National Bureau of Economic Research (NBER); University of Pennsylvania - The Penn Institute for Economic Research (PIER)

Eleonora Granziera

Bank of Finland

Mihye Lee

University of Southern California - Department of Economics

Multiple version iconThere are 3 versions of this paper

Date Written: June 2011

Abstract

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.

Suggested Citation

Moon, Hyungsik Roger and Schorfheide, Frank and Granziera, Eleonora and Lee, Mihye, Inference for Vars Identified with Sign Restrictions (June 2011). NBER Working Paper No. w17140, Available at SSRN: https://ssrn.com/abstract=1866099

Hyungsik Roger Moon (Contact Author)

University of Southern California - Department of Economics ( email )

KAP 300
Los Angeles, CA 90089-0253
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USC Dornsife Institute for New Economic Thinking ( email )

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Frank Schorfheide

University of Pennsylvania - Department of Economics ( email )

Ronald O. Perelman Center for Political Science
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Philadelphia, PA 19104-6297
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HOME PAGE: http://www.econ.upenn.edu/~schorf

Centre for Economic Policy Research (CEPR)

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United Kingdom

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
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University of Pennsylvania - The Penn Institute for Economic Research (PIER) ( email )

Philadelphia, PA
United States

Eleonora Granziera

Bank of Finland ( email )

Snellmaninaukio
Helsinki, Helsinki 00100
Finland

HOME PAGE: http://https://sites.google.com/site/eleonoragranziera/

Mihye Lee

University of Southern California - Department of Economics ( email )

3620 South Vermont Ave. Kaprielian (KAP) Hall, 300
Los Angeles, CA 90089
United States

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