NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Inference for VARs Identified with Sign Restrictions

Hyungsik Roger Moon, Frank Schorfheide, Eleonora Granziera, Mihye Lee

NBER Working Paper No. 17140
Issued in June 2011
NBER Program(s):   EFG   ME

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.

download in pdf format
   (612 K)

email paper

This paper is available as PDF (612 K) or via email.

An online appendix is available for this publication.

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w17140

Users who downloaded this paper also downloaded these:
Farmer w17137 Animal Spirits, Financial Crises and Persistent Unemployment
Benigno, Benigno, and Nisticò w17133 Risk, Monetary Policy and the Exchange Rate
Christiano and Ikeda w17142 Government Policy, Credit Markets and Economic Activity
Mueller and Stock w16714 Forecasts in a Slightly Misspecified Finite Order VAR
Wright w17154 What does Monetary Policy do to Long-Term Interest Rates at the Zero Lower Bound?
 
Publications
Activities
Meetings
NBER Videos
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us