Identification and inference with ranking restrictions

We propose to add ranking restrictions on impulse-responses to sign restrictions to narrow the identified set in vector autoregressions (VARs). Ranking restrictions come from micro data on heterogeneous industries in VARs, bounds on elasticities, or restrictions on dynamics. Using both a fully Bayes...

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Veröffentlicht in:	Quantitative economics 2021, Vol.12 (1), p.1-39
Hauptverfasser:	Amir Ahmadi, Pooyan, Drautzburg, Thorsten
Format:	Artikel
Sprache:	eng
Schlagworte:	Application Bayesian analysis Bayesian inference C32 C53 E32 Econometrics Elasticity of demand heterogeneity Identification Macroeconomics News posterior bounds Probability Productivity productivity news ranking restrictions Ratings & rankings sampling methods set-identification sign restrictions Structural VAR
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