Delta-method inference for a class of set-identified SVARs

DOI10.1016/j.jeconom.2017.12.004zbMath1386.62027OpenAlexW2782013824MaRDI QIDQ1706496

José Luis Montiel Olea, Bulat Gafarov, Matthias Meier

Publication date: 22 March 2018

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2017.12.004

zbMATH Keywords

directional differentiabilityunconventional monetary policysign restrictionsSVARset-identification

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (12)

The uniform validity of impulse response inference in autoregressions ⋮ Posterior distribution of nondifferentiable functions ⋮ Debiased machine learning of set-identified linear models ⋮ Refining set-identification in VARs through independence ⋮ Point estimation in sign-restricted SVARs based on independence criteria with an application to rational bubbles ⋮ Classical \(p\)-values and the Bayesian posterior probability that the hypothesis is approximately true ⋮ Delta-method inference for a class of set-identified SVARs ⋮ Inference for VARs identified with sign restrictions ⋮ Bayesian inference on structural impulse response functions ⋮ Uniform confidence bands: characterization and optimality ⋮ (Machine) learning parameter regions ⋮ Robust Bayesian inference in proxy SVARs

Cites Work

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• Delta-method inference for a class of set-identified SVARs
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• What Are the Limits of Posterior Distributions Arising From Nonidentified Models, and Why Should We Care?
• Inference in Linear Time Series Models with some Unit Roots
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• Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information
• Inference Based on Structural Vector Autoregressions Identified With Sign and Zero Restrictions: Theory and Applications
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