| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP16818 |
| DP16818 Comment on Giacomini, Kitagawa and Read’s ‘Narrative Restrictions and Proxies’ | |
| Lutz Kilian | |
| 发表日期 | 2021-12-18 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | In a series of recent studies, Raffaella Giacomini and Toru Kitagawa have developed an innovative new methodological approach to estimating sign-identified structural VAR models that seeks to build a bridge between Bayesian and frequentist approaches in the literature. Their latest paper with Matthew Read contains thought-provoking new insights about modeling narrative restrictions in sign-identified structural VAR models. My discussion puts their contribution into the context of Giacomini and Kitagawa’s broader research agenda and relates it to the larger literature on estimating structural VAR models subject to sign restrictions. |
| 主题 | International Macroeconomics and Finance |
| 关键词 | Structural var Single prior Multiple prior Posterior Joint inference Impulse response Narrative restrictions |
| URL | https://cepr.org/publications/dp16818 |
| 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/545744 |
| 推荐引用方式 GB/T 7714 | Lutz Kilian. DP16818 Comment on Giacomini, Kitagawa and Read’s ‘Narrative Restrictions and Proxies’. 2021. |
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