Working Paper: NBER ID: w17140
Authors: Hyungsik Roger Moon; Frank Schorfheide; Eleonora Granziera; Mihye Lee
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.
Keywords: No keywords provided
JEL Codes: C1; C32
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| structural shock (E32) | impulse response functions (IRFs) (F47) |
| set identification (P50) | impulse response functions (IRFs) (F47) |
| frequentist error bands (C46) | impulse response functions (IRFs) (F47) |
| impulse response functions (IRFs) (F47) | understanding of economic shocks (E32) |