Assessing Identifying Restrictions in SVAR Models
نویسندگان
چکیده
منابع مشابه
Assessing identifying restrictions in SVAR models
This paper proposes a Bayesian approach to assess if the data support candidate set-identifying restrictions for Vector Autoregressive models. The researcher is uncertain about the validity of some sign restrictions that she is contemplating to use. She therefore expresses her uncertainty with a prior distribution that covers the parameter space both where the restrictions are satisfied and whe...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2015
ISSN: 1556-5068
DOI: 10.2139/ssrn.2637267