Inference for VARs identified with sign restrictions

• 成果类型: Article
• 署名作者: Granziera, Eleonora; Moon, Hyungsik Roger; Schorfheide, Frank
• 署名单位: Bank of Finland; University of Southern California; Yonsei University; University of Pennsylvania
• 刊物名称: QUANTITATIVE ECONOMICS
• ISSN/ISSBN: 1759-7323
• DOI: 10.3982/QE978
• 发表日期: 2018
• 页码: 1087-1121
• 关键词: Bayesian inference; frequentist inference; set-identified models; sign restrictions; structural VARs

摘要

There is a fast growing literature that set-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). Most methods that have been used to construct pointwise coverage bands for impulse responses of sign-restricted SVARs are justified only from a Bayesian perspective. This paper demonstrates how to formulate the inference problem for sign-restricted SVARs within a moment-inequality framework. In particular, it develops methods of constructing confidence bands for impulse response functions of sign-restricted SVARs that are valid from a frequentist perspective. The paper also provides a comparison of frequentist and Bayesian coverage bands in the context of an empirical application-the former can be substantially wider than the latter.