Sign Restrictions in Structural Vector Autoregressions: A Critical Review

By Renée Fry, Adrian R. Pagan. 2011

713 citations recorded by the source corpus.

Subfields: Civil and Structural Engineering, Control and Systems Engineering, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/8a6107ff8afb54183515ef7c144e19b8e1b65a1c

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Citations in the corpus

Oil Prices, Exchange Rates and Interest Rates (2019, neutral): “, Fry and Pagan 2011; Kilian and Murphy 2012; Inoue and Kilian 2013; Kilian and Lütkepohl 2017; Herrera and Rangaraju 2019). Moreover, the associated pointwise impulse response error bands understate the true uncertainty about the model estimates. There are readily available econometric solutions to”
What Drives Oil Prices? Emerging versus Developed Economies (2012, positive): “As is now well known in the literature, the sign restrictions will not yield unique identification (see Fry and Pagan (2011)). That is, while the sign restrictions solve the structural identification problem by providing sufficient information to identify the structural parameters, there will be man”
THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL (2014, background): “For example, Hamilton (2009b) concludes based on a review of other studies that this elasticity is -0.”
Identification and estimation of non-Gaussian structural vector autoregressions (2015, background): “Moreover, sign restrictions, popular in the current SVAR literature, cannot be tested either (see, e.g., Fry and Pagan, 2011).”
Identification of Financial Factors in Economic Fluctuations (2019, neutral): “In fact, one issue with sign restrictions is the so-called “multiple shocks problem”, i.e. the fact that the restrictions imposed are potentially consistent with more than one shock (cf. Fry and Pagan, 2011).”
The Differential Effects of Oil Demand and Supply Shocks on the Global Economy (2012, neutral): “For this purpose, we follow Fry and Pagan (2011) and report the “Medium Target” of our impulse responses (a single model whose impulse responses are as close as possible to the median values).”
Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics (2016, background): “As Fry and Pagan (2011) point out, in the set-identified context, this rescaling raises additional inferential problems beyond those in the point-identified setting.”