What Can We Learn from Sign-Restricted VARs?
<jats:p> I use a simple business cycle model to illustrate the workings and limitations of sign restrictions in structural vector autoregressions. Three lessons emerge. First, such sign-based identification is vulnerable to "shock masquerading": linear combinations of other shocks ma...
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Format: | Article |
Language: | English |
Published: |
American Economic Association,
2022-09-01T12:17:28Z.
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Subjects: | |
Online Access: | Get fulltext |