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

---- Acknowledgements -----

We thank Fabio Canova and Eric Renault as well as seminar participants at the 2010 California Econometric Conference, the 2009 Canadian Econometric Study Group Meeting, Boston University, the 2010 Econometric Society World Congress, Harvard-MIT, the 2010 NBER Summer Institute, Queens University, the University of Pennsylvania, and Yale University. We also thank Hilda Guay and Minchul Shin for proofreading. Schorfheide gratefully acknowledges financial support from the National Science Foundation under Grant SES 0617803. The views expressed in this paper are those of the authors and do not necessarily reflect those of the Bank of Canada or the National Bureau of Economic Research. Data and Software to replicate the empirical analysis are available at http://www.ssc.upenn.edu/~schorf.

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