% WARNING: This file may contain UTF-8 (unicode) characters. % While non-8-bit characters are officially unsupported in BibTeX, you % can use them with the biber backend of biblatex % usepackage[backend=biber]{biblatex} @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.}, }