Working Paper: CEPR ID: DP16818
Authors: Lutz Kilian
Abstract: In a series of recent studies, Raffaella Giacomini and Toru Kitagawa have developed an innovative new methodological approach to estimating sign-identified structural VAR models that seeks to build a bridge between Bayesian and frequentist approaches in the literature. Their latest paper with Matthew Read contains thought-provoking new insights about modeling narrative restrictions in sign-identified structural VAR models. My discussion puts their contribution into the context of Giacomini and Kitagawa’s broader research agenda and relates it to the larger literature on estimating structural VAR models subject to sign restrictions.
Keywords: Structural VAR; Single prior; Multiple prior; Posterior; Joint inference; Impulse response; Narrative restrictions
JEL Codes: C11; C32; C52
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| choice of prior (D79) | informative nature of impulse response estimates (C51) |
| prior for reduced-form parameters (C51) | misleading conclusions (G41) |
| impulse response posterior (C11) | insights despite prior specifications (D80) |
| multiple prior approach (C30) | obscured economic interpretation of impulse responses (E19) |
| narrative restrictions (Z00) | alter interpretation of impulse responses (C22) |