Inference for VARs Identified with Sign Restrictions

• Tác giả: Eleonora Granziera, Hyungsik Roger Moon, Frank Schorfheide
• Ngôn ngữ: eng
• Ký hiệu phân loại: 133.33 Symbolic divination
• Thông tin xuất bản: 2017
• Bộ sưu tập: Metadata
• ID: 161595

Tóm tắt

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.