@techreport{NBERw17140,
 title = "Inference for VARs Identified with Sign Restrictions",
 author = "Hyungsik Roger Moon and Frank Schorfheide and Eleonora Granziera and Mihye Lee",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "17140",
 year = "2011",
 month = "June",
 doi = {10.3386/w17140},
 URL = "http://www.nber.org/papers/w17140",
 abstract = {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.},
}