Identification and inference with ranking restrictions

DOI10.3982/QE1277MaRDI QIDQ5164472zbMATH OpenOpenAlexFDO

Authors Pooyan Amir-Ahmadi, Thorsten Drautzburg

Publication date 11 November 2021

Published in Quantitative Economics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

Full work available at URL https://doi.org/10.3982/qe1277

zbMATH Keywords

Bayesian inferenceheterogeneitystructural VARsampling methodssign restrictionsposterior boundsset-identificationproductivity newsranking restrictions

Mathematics Subject Classification ID

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

Recommendations

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Cited in

(6)

• Sign restrictions, structural vector autoregressions, and useful prior information
• Refining set-identification in VARs through independence
• Large Bayesian SVARs with linear restrictions
• Identifying noise shocks
• Advances in using vector autoregressions to estimate structural magnitudes
• A new posterior sampler for Bayesian structural vector autoregressive models

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