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NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Publications by Mihye Lee

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June 2011Inference for VARs Identified with Sign Restrictions
with Hyungsik Roger Moon, Frank Schorfheide, Eleonora Granziera: w17140
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.

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