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来源类型Working Paper
规范类型报告
DOI10.3386/w29316
来源IDWorking Paper 29316
Refining Set-Identification in VARs through Independence
Thorsten Drautzburg; Jonathan H. Wright
发表日期2021-10-04
出版年2021
语种英语
摘要Identification in VARs has traditionally mainly relied on second moments. Some researchers have considered using higher moments as well, but there are concerns about the strength of the identification obtained in this way. In this paper, we propose refining existing identification schemes by augmenting sign restrictions with a requirement that rules out shocks whose higher moments significantly depart from independence. This approach does not assume that higher moments help with identification; it is robust to weak identification. In simulations we show that it controls coverage well, in contrast to approaches that assume that the higher moments deliver point-identification. However, it requires large sample sizes and/or considerable non-normality to reduce the width of confidence intervals by much. We consider some empirical applications. We find that it can reject many possible rotations. The resulting confidence sets for impulse responses may be non-convex, corresponding to disjoint parts of the space of rotation matrices. We show that in this case, augmenting sign and magnitude restrictions with an independence requirement can yield bigger gains.
主题Econometrics ; Estimation Methods
URLhttps://www.nber.org/papers/w29316
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/586990
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Thorsten Drautzburg,Jonathan H. Wright. Refining Set-Identification in VARs through Independence. 2021.
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