Unambiguous inference in sign-restricted VAR models

Robert Calvert Jump

Working Papers from Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol

Abstract: This paper demonstrates how sign restrictions can be used to infer the signs of certain historical shocks from reduced form VAR residuals. This is achieved without recourse to non-sign information. The method is illustrated by an application to the AD-AS model using UK data.

Keywords: Structural VAR; sign restrictions. (search for similar items in EconPapers)
JEL-codes: C51 C52 (search for similar items in EconPapers)
Date: 2018-01-02
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:uwe:wpaper:20181802

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