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Three Basic Issues that Arise when Using Informational Restrictions in SVARs*
Oxford Bulletin of Economics and Statistics ( IF 2.5 ) Pub Date : 2021-08-31 , DOI: 10.1111/obes.12458
Sam Ouliaris 1 , Adrian Pagan 2
Affiliation  

When sign or other informational restrictions are used in SVARs, impulse responses are only set identified. Three issues need to be addressed when finding such sets. One is that the restrictions must be sufficient to separate the shocks. Failure to do so can result in unacceptable structural equations, for example two supply curves in the SVAR. Another is the need to adjust the identified set so that the responses are to the same size shock. Otherwise the range of responses that are being found may simply reflect different shock sizes. The third issue is estimation of the SVAR when all the shocks are not separated. Researchers are often unwilling to set out sign restrictions to separate all shocks and so we describe what can be done to accommodate that attitude by using a triangular SVAR that parallels what is used with exact restrictions.

中文翻译:

在 SVAR 中使用信息限制时出现的三个基本问题*

当 SVAR 中使用符号或其他信息限制时,脉冲响应仅被识别。找到这样的集合时需要解决三个问题。一是限制必须足以将冲击分开。不这样做可能会导致不可接受的结构方程,例如 SVAR 中的两条供给曲线。另一个是需要调整已识别的集合,以便对相同大小的冲击做出响应。否则,所发现的响应范围可能只是反映不同的冲击大小。第三个问题是没有分离所有冲击时的 SVAR 估计。研究人员通常不愿意设置符号限制来区分所有冲击,因此我们描述了可以通过使用与使用精确限制平行的三角形 SVAR 来适应这种态度的方法。
更新日期:2021-08-31
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