| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w29316 |
| 来源ID | Working 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 |
| URL | https://www.nber.org/papers/w29316 |
| 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/586990 |
| 推荐引用方式 GB/T 7714 | Thorsten Drautzburg,Jonathan H. Wright. Refining Set-Identification in VARs through Independence. 2021. |
| 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 | ||
| w29316.pdf（3496KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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