Sign restrictions in structural vector autoregressions: a critical review
The paper provides a review of the estimation of structural vector autoregressions with sign restrictions. It is shown how sign restrictions solve the parametric identification problem present in structural systems but leaves the model identification problem unresolved. A market and a macro model are used to illustrate these points. Suggestions have been made on how to find a unique model. These are reviewed. An analysis is provided of whether one can recover the true impulse responses and what...[Show more]
|Collections||ANU Research Publications|
|Source:||Journal of Economic Literature 49.4 (2011): 938-960|
|Fry & Pagan Sign restrictions 2011.pdf||1.46 MB||Adobe PDF|
Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.