References
- Antolín-Díaz, J., and Rubio-Ramírez, J. F. (2018), “Narrative Sign Restrictions for SVARs,” American Economic Review, 108, 2802–2829. DOI: 10.1257/aer.20161852.
- Arias, J. E., Rubio-Ramírez, J. F., and Waggoner, D. F. (2018), “Inference Based on Structural Vector Autoregressions Identified with Sign and Zero Restrictions: Theory and Applications,” Econometrica, 86, 685–720. DOI: 10.3982/ECTA14468.
- Arias, J. E., Rubio-Ramírez, J. F., and Waggoner, D. F. (2021), “Inference in Bayesian Proxy SVARs,” Journal of Econometrics, 225, 88–106.
- Baumeister, C., and Hamilton, J. D. (2015), “Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information,” Econometrica, 83, 1963–1999. DOI: 10.3982/ECTA12356.
- Baumeister, C., and Hamilton, J. D. (2022), “Advances in Using Vector Autoregressions to Estimate Structural Magnitudes,” unpublished manuscript.
- Giacomini, R., and Kitagawa, T. (2021), “Robust Bayesian Inference for Set-identified Models,” Econometrica, 89, 1519–1556. DOI: 10.3982/ECTA16773.
- Giacomini, R., Kitagawa, T., and Read, M. (2021a), “Identification and Inference Under Narrative Restrictions,” arXiv: 2102.06456 [econ.EM].
- Giacomini, R., Kitagawa, T., and Read, M. (2021b), “Robust Bayesian Analysis for Econometrics,” Centre for Economic Policy Research Discussion Paper DP16488.
- Giacomini, R., Kitagawa, T., and Read, M. (2022), “Robust Bayesian Inference in Proxy SVARs,” Journal of Econometrics, 228, 107–126.
- Giacomini, R., Kitagawa, T., and Uhlig, H. (2019), “Estimation Under Ambiguity,” cemmap Working paper CWP24/19.
- Inoue, A., and Kilian, L. (2016), “Joint Confidence Sets for Structural Impulse Responses,” Journal of Econometrics, 192, 421–432. DOI: 10.1016/j.jeconom.2016.02.008.
- Inoue, A., and Kilian, L. (2022), “The Role of the Prior in Estimating VAR Models with Sign Restrictions,” unpublished manuscript.
- Inoue, A., and Kilian, L. (forthcoming), “Joint Bayesian Inference about Impulse Responses in VAR Models,” Journal of Econometrics.
- Manski, C. F. (2003), Partial Identification of Probability Distributions, New York: Springer-Verlag.
- Read, M. (forthcoming), “The Unit-effect Normalisation in Set-identified Structural Vector Autoregressions,” Reserve Bank of Australia Research Discussion Paper.
- Rubio-Ramírez, J. F., Waggoner, D. F., and Zha, T. (2010), “Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference,” The Review of Economic Studies, 77, 665–696. DOI: 10.1111/j.1467-937X.2009.00578.x.