Refining set-identification in VARs through independence

DOI10.1016/J.JECONOM.2023.01.011MaRDI QIDQ6108329zbMATH OpenFDO

Authors Thorsten Drautzburg, Jonathan H. Wright

Publication date 29 June 2023

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.JECONOM.2023.01.011

zbMATH Keywords

independent shocksset-identificationsign restrictionsvector-autoregressionweak identification

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• A Class of Statistics with Asymptotically Normal Distribution
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• Independent component analysis, a new concept?
• Inference for VARs identified with sign restrictions
• Local projections and VARs estimate the same impulse responses
• Monte Carlo confidence sets for identified sets
• Robust Bayesian inference for set-identified models
• Sign restrictions, structural vector autoregressions, and useful prior information
• Statistical inference for independent component analysis: application to structural VAR models
• Structural vector autoregressive analysis
• The Impact of Uncertainty Shocks

Cited in

(9)

• Delta-method inference for a class of set-identified SVARs
• Set identification and sensitivity analysis with Tobin regressors
• Point estimation in sign-restricted SVARs based on independence criteria with an application to rational bubbles
• Locally robust inference for non-Gaussian linear simultaneous equations models
• The importance of supply and demand for oil prices: Evidence from non‐Gaussianity
• Locally robust inference for non-Gaussian SVAR models
• Non-independent component analysis
• Estimating fiscal multipliers by combining statistical identification with potentially endogenous proxies
• Identification through sparsity in factor models: the _1-rotation criterion

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