Details

Autor(en) / Beteiligte

• Baumeister, Christiane
• Hamilton, James D.

Titel

ADVANCES IN USING VECTOR AUTOREGRESSIONS TO ESTIMATE STRUCTURAL MAGNITUDES

Ist Teil von

• Econometric theory, 2024-06, Vol.40 (3), p.472-510

Ort / Verlag

New York, USA: Cambridge University Press

Erscheinungsjahr

2024

Quelle

Alma/SFX Local Collection

Beschreibungen/Notizen

• This paper surveys recent advances in drawing structural conclusions from vector autoregressions (VARs), providing a unified perspective on the role of prior knowledge. We describe the traditional approach to identification as a claim to have exact prior information about the structural model and propose Bayesian inference as a way to acknowledge that prior information is imperfect or subject to error. We raise concerns from both a frequentist and a Bayesian perspective about the way that results are typically reported for VARs that are set-identified using sign and other restrictions. We call attention to a common but previously unrecognized error in estimating structural elasticities and show how to correctly estimate elasticities even in the case when one only knows the effects of a single structural shock.