scholarly journals Drawing Conclusions from Structural Vector Autoregressions Identified on the Basis of Sign Restrictions

2020 ◽  
Author(s):  
Christiane Baumeister ◽  
James D. Hamilton
Keyword(s):  
Vector Autoregressions ◽  
Sign Restrictions ◽  
Structural Vector

Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information

Econometrica ◽  
2015 ◽  
Vol 83 (5) ◽  
pp. 1963-1999 ◽  
Author(s):  
Christiane Baumeister ◽  
James D. Hamilton
Keyword(s):  
Prior Information ◽  
Vector Autoregressions ◽  
Sign Restrictions ◽  
Structural Vector

scholarly journals Sign Restrictions in Structural Vector Autoregressions: A Critical Review

2011 ◽  
Vol 49 (4) ◽  
pp. 938-960 ◽  
Author(s):  
Renée Fry ◽  
Adrian Pagan
Keyword(s):  
Model Identification ◽  
Parametric Identification ◽  
Identification Problem ◽  
Structural Systems ◽  
Impulse Responses ◽  
Vector Autoregressions ◽  
Sign Restrictions ◽  
Unique Model ◽  
Jel C32 ◽  
Structural Vector

The paper provides a review of the estimation of structural vector autoregressions with sign restrictions. It is shown how sign restrictions solve the parametric identification problem present in structural systems but leaves the model identification problem unresolved. A market and a macro model are used to illustrate these points. Suggestions have been made on how to find a unique model. These are reviewed. An analysis is provided of whether one can recover the true impulse responses and what difficulties might arise when one wishes to use the impulse responses found with sign restrictions. (JEL C32, C51, E12)

scholarly journals Narrative Sign Restrictions for SVARs

2018 ◽  
Vol 108 (10) ◽  
pp. 2802-2829 ◽  
Author(s):  
Juan Antolín-Díaz ◽  
Juan F. Rubio-Ramírez
Keyword(s):  
Vector Autoregressions ◽  
Structural Shocks ◽  
Narrative Methods ◽  
Oil Market ◽  
Sign Restrictions ◽  
Jel C32 ◽  
Historical Decomposition ◽  
Sign Restriction ◽  
Structural Vector ◽  
Narrative Account

We identify structural vector autoregressions using narrative sign restrictions. Narrative sign restrictions constrain the structural shocks and/or the historical decomposition around key historical events, ensuring that they agree with the established narrative account of these episodes. Using models of the oil market and monetary policy, we show that narrative sign restrictions tend to be highly informative. Even a single narrative sign restriction may dramatically sharpen and even change the inference of SVARs originally identified via traditional sign restrictions. Our approach combines the appeal of narrative methods with the popularized usage of traditional sign restrictions. (JEL C32, E52, Q35, Q43)

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