G2TT
来源类型Discussion paper
规范类型论文
来源IDDP9796
DP9796 Inference Based on SVAR Identified with Sign and Zero Restrictions: Theory and Applications
Juan Francisco Rubio-Ramírez
发表日期2014-01-26
出版年2014
语种英语
摘要Are optimism shocks an important source of business cycle fluctuations? Are deficit-financed tax cuts better than deficit-financed spending to increase output? These questions have been previously studied using SVARs identified with sign and zero restrictions and the answers have been positive and definite in both cases. While the identification of SVARs with sign and zero restrictions is theoretically attractive because it allows the researcher to remain agnostic with respect to the responses of the key variables of interest, we show that current implementation of these techniques does not respect the agnosticism of the theory. These algorithms impose additional sign restrictions on variables that are seemingly unrestricted that bias the results and produce misleading confidence intervals. We provide an alternative and efficient algorithm that does not introduce any additional sign restriction, hence preserving the agnosticism of the theory. Without the additional restrictions, it is hard to support the claim that either optimism shocks are an important source of business cycle fluctuations or deficit-financed tax cuts work best at improving output. Our algorithm is not only correct but also faster than current ones.
主题International Macroeconomics ; Public Economics
关键词Svars Fiscal shocks Optimism Sign and zero restrictions
URLhttps://cepr.org/publications/dp9796
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/538632
推荐引用方式
GB/T 7714
Juan Francisco Rubio-Ramírez. DP9796 Inference Based on SVAR Identified with Sign and Zero Restrictions: Theory and Applications. 2014.
条目包含的文件
条目无相关文件。
个性服务
推荐该条目
保存到收藏夹
导出为Endnote文件
谷歌学术
谷歌学术中相似的文章
[Juan Francisco Rubio-Ramírez]的文章
百度学术
百度学术中相似的文章
[Juan Francisco Rubio-Ramírez]的文章
必应学术
必应学术中相似的文章
[Juan Francisco Rubio-Ramírez]的文章
相关权益政策
暂无数据
收藏/分享

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。