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A Method for Working with Sign Restrictions in Structural Equation Modelling

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  • Sam Ouliaris
  • Adrian Pagan

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  • Sam Ouliaris & Adrian Pagan, 2016. "A Method for Working with Sign Restrictions in Structural Equation Modelling," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 78(5), pages 605-622, October.
    • Handle: RePEc:bla:obuest:v:78:y:2016:i:5:p:605-622
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    2. Uhlig, Harald, 2005. "What are the effects of monetary policy on output? Results from an agnostic identification procedure," Journal of Monetary Economics, Elsevier, vol. 52(2), pages 381-419, March.
    3. Jonas E. Arias & Juan Rubio-Ramirez & Daniel F. Waggoner, 2013. "Inference Based on SVARs Identied with Sign and Zero Restrictions: Theory and Applications," Working Papers 2013-24, FEDEA.
    4. Renée Fry & Adrian Pagan, 2011. "Sign Restrictions in Structural Vector Autoregressions: A Critical Review," Journal of Economic Literature, American Economic Association, vol. 49(4), pages 938-960, December.
    5. Juan F. Rubio-Ramírez & Daniel F. Waggoner & Tao Zha, 2010. "Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 77(2), pages 665-696.
    6. Cho, Seonghoon & Moreno, Antonio, 2006. "A Small-Sample Study of the New-Keynesian Macro Model," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(6), pages 1461-1481, September.
    7. Lance A. Fisher & Hyeon‐Seung Huh & Adrian R. Pagan, 2016. "Econometric Methods for Modelling Systems With a Mixture of i(1) and i(0) Variables," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(5), pages 892-911, August.
    8. Elekdag, Selim & Han, Fei, 2015. "What drives credit growth in emerging Asia?," Journal of Asian Economics, Elsevier, vol. 38(C), pages 1-13.
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    10. Canova, Fabio & Nicolo, Gianni De, 2002. "Monetary disturbances matter for business fluctuations in the G-7," Journal of Monetary Economics, Elsevier, vol. 49(6), pages 1131-1159, September.
    11. Faust, Jon, 1998. "The robustness of identified VAR conclusions about money," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 49(1), pages 207-244, December.
    12. A. R. Pagan & J. C. Robertson, 1998. "Structural Models Of The Liquidity Effect," The Review of Economics and Statistics, MIT Press, vol. 80(2), pages 202-217, May.
    13. Christiane Baumeister & James D. Hamilton, 2015. "Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information," Econometrica, Econometric Society, vol. 83(5), pages 1963-1999, September.
    14. Haroon Mumtaz & Francesco Zanetti, 2012. "Neutral Technology Shocks And The Dynamics Of Labor Input: Results From An Agnostic Identification," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 53(1), pages 235-254, February.
    15. Hausman, Jerry A, 1975. "An Instrumental Variable Approach to Full Information Estimators for Linear and Certain Nonlinear Econometric Models," Econometrica, Econometric Society, vol. 43(4), pages 727-738, July.
    16. Paul Beaudry & Deokwoo Nam & Jian Wang, 2011. "Do Mood Swings Drive Business Cycles and is it Rational?," NBER Working Papers 17651, National Bureau of Economic Research, Inc.
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    Cited by:

    1. Lance A. Fisher & Hyeon-seung Huh, 2022. "Systematic Monetary Policy in a SVAR for Australia," Working papers 2022rwp-194, Yonsei University, Yonsei Economics Research Institute.
    2. Fisher, Lance A. & Huh, Hyeon-seung, 2019. "An IV framework for combining sign and long-run parametric restrictions in SVARs," Journal of Macroeconomics, Elsevier, vol. 61(C), pages 1-1.
    3. Korobilis, Dimitris, 2022. "A new algorithm for structural restrictions in Bayesian vector autoregressions," European Economic Review, Elsevier, vol. 148(C).
    4. Sam Ouliaris & Adrian Pagan, 2022. "Three Basic Issues that Arise when Using Informational Restrictions in SVARs," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(1), pages 1-20, February.
    5. Bünyamin Fuat Yıldız & Korhan K. Gökmenoğlu & Wing-Keung Wong, 2022. "Analysing Monetary Policy Shocks by Sign and Parametric Restrictions: The Evidence from Russia," Economies, MDPI, vol. 10(10), pages 1-16, September.
    6. Dimitris Korobilis, 2020. "Sign restrictions in high-dimensional vector autoregressions," Working Papers 2020_21, Business School - Economics, University of Glasgow.
    7. Bojaj, Martin M. & Muhadinovic, Milica & Bracanovic, Andrej & Mihailovic, Andrej & Radulovic, Mladen & Jolicic, Ivan & Milosevic, Igor & Milacic, Veselin, 2022. "Forecasting macroeconomic effects of stablecoin adoption: A Bayesian approach," Economic Modelling, Elsevier, vol. 109(C).
    8. Fisher, Lance A. & Huh, Hyeon-seung, 2016. "Monetary policy and exchange rates: Further evidence using a new method for implementing sign restrictions," Journal of Macroeconomics, Elsevier, vol. 49(C), pages 177-191.
    9. Xianglong Liu & Adrian R. Pagan & Tim Robinson, 2018. "Critically Assessing Estimated DSGE Models: A Case Study of a Multi‐sector Model," The Economic Record, The Economic Society of Australia, vol. 94(307), pages 349-371, December.
    10. Fisher, Lance A. & Huh, Hyeon-seung, 2023. "Systematic monetary policy in a SVAR for Australia," Economic Modelling, Elsevier, vol. 128(C).
    11. Tommy Wu & Michael Cheng & Ken Wong, 2017. "Bayesian analysis of Hong Kong's housing price dynamics," Pacific Economic Review, Wiley Blackwell, vol. 22(3), pages 312-331, August.

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