Identification of SVAR Models by Combining Sign Restrictions With External Instruments

Braun, Robin; Brüggemann, Ralf

Identification of SVAR Models by Combining Sign Restrictions With External Instruments

Dateien

Zu diesem Dokument gibt es keine Dateien.

Datum

2023

Publikationstyp

Zeitschriftenartikel

Publikationsstatus

Published

Erschienen in

Journal of Business & Economic Statistics. Taylor & Francis. 2023, 41(4), pp. 1077-1089. ISSN 0735-0015. eISSN 1537-2707. Available under: doi: 10.1080/07350015.2022.2104857

Zusammenfassung

We discuss combining sign restrictions with information in external instruments (proxy variables) to identify structural vector autoregressive (SVAR) models. In one setting, we assume the availability of valid external instruments. Sign restrictions may then be used to identify further orthogonal shocks, or as an additional piece of information to pin down the shocks identified by the external instruments more precisely. In a second setting, we assume that proxy variables are only “plausibly exogenous” and suggest various types of inequality restrictions to bound the relation between structural shocks and the external variable. This can be combined with conventional sign restrictions to further narrow down the set of admissible models. Within a proxy-augmented SVAR, we conduct Bayesian inference and discuss computation of Bayes factors. They can be useful to test either the sign- or IV restrictions as overidentifying. We illustrate the usefulness of our methodology in estimating the effects of oil supply and monetary policy shocks.

Fachgebiet (DDC)

330 Wirtschaft

Zitieren

ISO 690

BRAUN, Robin, Ralf BRÜGGEMANN, 2023. Identification of SVAR Models by Combining Sign Restrictions With External Instruments. In: Journal of Business & Economic Statistics. Taylor & Francis. 2023, 41(4), pp. 1077-1089. ISSN 0735-0015. eISSN 1537-2707. Available under: doi: 10.1080/07350015.2022.2104857

BibTex

@article{Braun2023Ident-58726,
  year={2023},
  doi={10.1080/07350015.2022.2104857},
  title={Identification of SVAR Models by Combining Sign Restrictions With External Instruments},
  number={4},
  volume={41},
  issn={0735-0015},
  journal={Journal of Business & Economic Statistics},
  pages={1077--1089},
  author={Braun, Robin and Brüggemann, Ralf}
}

RDF

<rdf:RDF
    xmlns:dcterms="http://purl.org/dc/terms/"
    xmlns:dc="http://purl.org/dc/elements/1.1/"
    xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#"
    xmlns:bibo="http://purl.org/ontology/bibo/"
    xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#"
    xmlns:foaf="http://xmlns.com/foaf/0.1/"
    xmlns:void="http://rdfs.org/ns/void#"
    xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > 
  <rdf:Description rdf:about="https://kops.uni-konstanz.de/server/rdf/resource/123456789/58726">
    <dcterms:issued>2023</dcterms:issued>
    <dc:creator>Braun, Robin</dc:creator>
    <foaf:homepage rdf:resource="http://localhost:8080/"/>
    <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2022-10-05T06:43:01Z</dcterms:available>
    <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/>
    <dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/46"/>
    <dc:contributor>Braun, Robin</dc:contributor>
    <dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/46"/>
    <bibo:uri rdf:resource="https://kops.uni-konstanz.de/handle/123456789/58726"/>
    <dcterms:title>Identification of SVAR Models by Combining Sign Restrictions With External Instruments</dcterms:title>
    <dcterms:abstract xml:lang="eng">We discuss combining sign restrictions with information in external instruments (proxy variables) to identify structural vector autoregressive (SVAR) models. In one setting, we assume the availability of valid external instruments. Sign restrictions may then be used to identify further orthogonal shocks, or as an additional piece of information to pin down the shocks identified by the external instruments more precisely. In a second setting, we assume that proxy variables are only “plausibly exogenous” and suggest various types of inequality restrictions to bound the relation between structural shocks and the external variable. This can be combined with conventional sign restrictions to further narrow down the set of admissible models. Within a proxy-augmented SVAR, we conduct Bayesian inference and discuss computation of Bayes factors. They can be useful to test either the sign- or IV restrictions as overidentifying. We illustrate the usefulness of our methodology in estimating the effects of oil supply and monetary policy shocks.</dcterms:abstract>
    <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2022-10-05T06:43:01Z</dc:date>
    <dc:contributor>Brüggemann, Ralf</dc:contributor>
    <dc:creator>Brüggemann, Ralf</dc:creator>
    <dc:language>eng</dc:language>
  </rdf:Description>
</rdf:RDF>

Universitätsbibliographie

Ja

Begutachtet

Nein