Access the full text.
Sign up today, get DeepDyve free for 14 days.
References for this paper are not available at this time. We will be adding them shortly, thank you for your patience.
This paper investigates whether the key choices for the implementation of algorithms in sign restrictions are consequential for the range of accepted impulse responses in an empirical SVAR. Two algorithms in sign restrictions are considered. In one algorithm, the key choices concern the method by which an initial set of orthogonal shocks are formed and the method by which they are rotated. For this algorithm, the range of accepted responses are invariant to these choices. In the other algorithm, the key choice is the selection of the set of coefficients on the contemporaneous variables in the structural equations which are to be generated. Each selection corresponds to an ordering of the variables. For this algorithm, the range of accepted responses can be affected by the ordering of the variables in which case the algorithm is extended to loop over all variable orderings.
International Journal of Computational Economics and Econometrics – Inderscience Publishers
Published: Jan 1, 2021
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Access the full text.
Sign up today, get DeepDyve free for 14 days.
All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.