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

DOI10.1016/J.JECONOM.2017.12.004zbMATH Open1386.62027OpenAlexW2782013824MaRDI QIDQ1706496FDOQ1706496

Authors: Bulat Gafarov, Matthias Meier, José Luis Montiel Olea 

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

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zbMATH Keywords

unconventional monetary policydirectional differentiabilitysign restrictionsSVARset-identification

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Sign restrictions, structural vector autoregressions, and useful prior information
• Bayesian and frequentist inference in partially identified models
• Title not available (Why is that?)
• Statistical inference in vector autoregressions with possibly integrated processes
• Inference in Linear Time Series Models with some Unit Roots
• Making wald tests work for cointegrated VAR systems
• Problems related to confidence intervals for impulse responses of autoregressive processes
• Bootstrapping Autoregressive Processes with Possible Unit Roots
• On nondifferentiable functions and the bootstrap
• Inference on impulse response functions in structural VAR models
• On convergence of posterior distributions
• Asymptotic analysis of stochastic programs
• Title not available (Why is that?)
• Identification and shape restrictions in nonparametric instrumental variables estimation
• Sensitivity and stability analysis for nonlinear programming
• Inference based on structural vector autoregressions identified with sign and zero restrictions: theory and applications
• Delta-method inference for a class of set-identified SVARs
• The numerical delta method
• What are the limits of posterior distributions arising from nonidentified models, and why should we care?

Cited In (20)

• Robust Bayesian inference in proxy SVARs
• Debiased machine learning of set-identified linear models
• Qualitative versus quantitative external information for proxy vector autoregressive analysis
• (Machine) learning parameter regions
• Comment on Giacomini, Kitagawa, and Read’s “Narrative Restrictions and Proxies”
• SVARs Identification Through Bounds on the Forecast Error Variance
• Simple Inference on Functionals of Set-Identified Parameters Defined by Linear Moments
• Bayesian inference on structural impulse response functions
• Identification and inference with ranking restrictions
• Inference for VARs identified with sign restrictions
• Inference on impulse response functions in structural VAR models
• The uniform validity of impulse response inference in autoregressions
• Refining set-identification in VARs through independence
• Uniform confidence bands: characterization and optimality
• Point estimation in sign-restricted SVARs based on independence criteria with an application to rational bubbles
• Posterior distribution of nondifferentiable functions
• Advances in using vector autoregressions to estimate structural magnitudes
• A generalized method of impulse identification
• Delta-method inference for a class of set-identified SVARs
• Classical \(p\)-values and the Bayesian posterior probability that the hypothesis is approximately true

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