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来源类型 | Discussion paper |
规范类型 | 论文 |
来源ID | DP9796 |
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 |
URL | https://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. |
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