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Sign restrictions in structural vector autoregressions: a critical review

Fry, Renée; Pagan, Adrian


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]

CollectionsANU Research Publications
Date published: 2011-12
Type: Journal article
Source: Journal of Economic Literature 49.4 (2011): 938-960
DOI: 10.1257/jel.49.4.938


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