| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w17140 |
| 来源ID | Working Paper 17140 |
| Inference for VARs Identified with Sign Restrictions | |
| Hyungsik Roger Moon; Frank Schorfheide; Eleonora Granziera; Mihye Lee | |
| 发表日期 | 2011-06-16 |
| 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 | Econometrics ; Estimation Methods |
| URL | https://www.nber.org/papers/w17140 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/574814 |
| 推荐引用方式 GB/T 7714 | Hyungsik Roger Moon,Frank Schorfheide,Eleonora Granziera,et al. Inference for VARs Identified with Sign Restrictions. 2011. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w17140.pdf（611KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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