Inference for VARs identified with sign restrictions

DOI10.3982/QE978zbMath1412.62118arXiv1709.10196OpenAlexW3125602456MaRDI QIDQ4625062

Hyungsik Roger Moon, Eleonora Granziera, Frank Schorfheide

Publication date: 20 February 2019

Published in: Quantitative Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1709.10196

zbMATH Keywords

Bayesian inferenceconfidence bandsfrequentist inferencestructural VARssign restrictionsset-identified models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric tolerance and confidence regions (62F25) Bayesian inference (62F15)

Related Items (9)

The uniform validity of impulse response inference in autoregressions ⋮ Refining set-identification in VARs through independence ⋮ Point estimation in sign-restricted SVARs based on independence criteria with an application to rational bubbles ⋮ Locally robust inference for non-Gaussian linear simultaneous equations models ⋮ Identification and Estimation of Structural VARMA Models Using Higher Order Dynamics ⋮ Inference for VARs identified with sign restrictions ⋮ The horseshoe prior for time-varying parameter VARs and monetary policy ⋮ Long-term inflation expectations and the transmission of monetary policy shocks: evidence from a SVAR analysis ⋮ Robust Bayesian inference in proxy SVARs

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