Identification and inference with ranking restrictions

DOI10.3982/QE1277zbMATH Open1477.62362OpenAlexW3118394166MaRDI QIDQ5164472FDOQ5164472

Authors: Pooyan Amir-Ahmadi, Thorsten Drautzburg 

Publication date: 11 November 2021

Published in: Quantitative Economics (Search for Journal in Brave)

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

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• Identifying noise shocks
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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)

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
• Advances in using vector autoregressions to estimate structural magnitudes
• A new posterior sampler for Bayesian structural vector autoregressive models
• Identifying noise shocks

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