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摘要翻译：
通过对内生变量的子集对特定结构冲击的响应施加符号限制（符号限制的SVARs）来确定结构向量自回归(SVARs)，这方面的文献正在迅速增长。大多数用于构造符号受限SVAR脉冲响应点式覆盖带的方法都是从贝叶斯的角度来证明的。本文在矩不等式框架内证明了符号限制SVAR的推理问题。特别是，它发展了构造符号限制SVAR脉冲响应函数的置信带的方法，从频率学的角度来看是有效的。本文还提供了一个经验应用背景下的频率和贝叶斯复盖带的比较-前者可以大大宽于后者。
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英文标题：
《Inference for VARs Identified with Sign Restrictions》
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作者：
Eleonora Granziera, Hyungsik Roger Moon, Frank Schorfheide
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最新提交年份：
2018
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分类信息：
一级分类：Economics 经济学
二级分类：Econometrics 计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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英文摘要：
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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PDF链接：
https://arxiv.org/pdf/1709.10196
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