Eleonora Granziera, Hyungsik Roger Moon, Frank Schorfheide
arXiv 28 Sep 2017 · Econometrics · publishedQuantitative Economics (2018) · 17 citations (OpenAlex)
arXiv:1709.10196 · PDF · DOI · OpenAlex · Extracted main text
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.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Andrews and Soares (2010) Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection | 1.000 | 9 | 7 | 100% |
| 2 | Uhlig (2005) What Are the Effects of Monetary Policy on Output? Results from an Agnostic Identification Procedure | 1.000 | 6 | 3 | 100% |
| 3 | Chernozhukov, Hong, and Tamer (2007) Estimation and Confidence Regions for Parameter Sets in Econometric Models | 0.843 | 3 | 3 | 100% |
| 4 | Kilian and Lütkepohl (2017) Structural Vector Autoregressive Analysis\/ | 0.843 | 3 | 3 | 100% |
| 5 | Campbell and Yogo (2006) Efficient tests of stock return predictability | 0.737 | 3 | 2 | 100% |
| 6 | Andrews and Guggenberger (2009) Validity of Subsampling and `Plug-in Asymptotics' Inference for Parameters Defined by Moment Inequalities | 0.644 | 2 | 2 | 100% |
| 7 | McCloskey (2017) Bonferroni-based size-correction for nonstandard testing problems | 0.644 | 2 | 2 | 100% |
| 8 | Moon and Schorfheide (2012) Bayesian and frequentist inference in partially identified models | 0.644 | 2 | 2 | 100% |
| 9 | Rosen (2008) Confidence Sets for Partially Identified Parameters that Satisfy a Finite Number of Moment Inequalities | 0.644 | 2 | 2 | 100% |
| 10 | Andrews and Barwick (2012) Inference for Parameters Defined by Moment Inequalities: A Reccommended Moment Selection Procedure | 0.511 | 2 | 1 | 100% |
Showing the top 10 of 51 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Locally- but not Globally-identified SVARs | 0.737 | 4 | 2 |
| 2 | Partially identified heteroskedastic SVARs | 0.644 | 2 | 2 |
| 3 | Projection Inference for Set-Identified SVARs | 0.644 | 2 | 2 |
| 4 | Microeconometrics with Partial Identification | 0.405 | 1 | 1 |
| 5 | Identifying Preferences when households are financially constrained | 0.405 | 1 | 1 |
| 6 | Algorithms for Inference in SVARs Identified with Sign and Zero Restrictions | 0.405 | 1 | 1 |
| 7 | Structural Analysis of Vector Autoregressive Models | 0.405 | 1 | 1 |