| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8432 |
| DP8432 Inference for VARs Identified with Sign Restrictions | |
| Frank Schorfheide; Hyungsik Roger Moon; Eleonora Granziera; Mihye Lee | |
| 发表日期 | 2011-06-13 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | International Macroeconomics |
| 关键词 | Bayesian inference Frequentist inference Partially identified models Sign restrictions Structural vars |
| URL | https://cepr.org/publications/dp8432 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537295 |
| 推荐引用方式 GB/T 7714 | Frank Schorfheide,Hyungsik Roger Moon,Eleonora Granziera,et al. DP8432 Inference for VARs Identified with Sign Restrictions. 2011. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
