Inference for VARs Identified with Sign Restrictions
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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Copy CitationHyungsik Roger Moon, Frank Schorfheide, Eleonora Granziera, and Mihye Lee, "Inference for VARs Identified with Sign Restrictions," NBER Working Paper 17140 (2011), https://doi.org/10.3386/w17140.
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Published Versions
Eleonora Granziera & Hyungsik Roger Moon & Frank Schorfheide, 2018. "Inference for VARs identified with sign restrictions," Quantitative Economics, Econometric Society, vol. 9(3), pages 1087-1121, November. citation courtesy of 
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