Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/217123 
Year of Publication: 
2018
Citation: 
[Journal:] Quantitative Economics [ISSN:] 1759-7331 [Volume:] 9 [Issue:] 3 [Publisher:] The Econometric Society [Place:] New Haven, CT [Year:] 2018 [Pages:] 1087-1121
Publisher: 
The Econometric Society, New Haven, CT
Abstract: 
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.
Subjects: 
Bayesian inference
frequentist inference
set-identified models
sign restrictions
structural VARs
JEL: 
C1
C32
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc Logo
Document Type: 
Article

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