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Comment on Giacomini, Kitagawa, and Read’s “Narrative Restrictions and Proxies”

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  • Lutz Kilian

Abstract

In a series of recent studies, Raffaella Giacomini and Toru Kitagawa have developed an innovative new methodological approach to estimating sign-identified structural VAR models that seeks to build a bridge between Bayesian and frequentist approaches in the literature. Their latest paper with Matthew Read contains thought-provoking new insights about modeling narrative restrictions in sign-identified structural VAR models. My discussion puts their contribution into the context of Giacomini and Kitagawa’s broader research agenda and relates it to the larger literature on estimating structural VAR models subject to sign restrictions.
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Suggested Citation

  • Lutz Kilian, 2022. "Comment on Giacomini, Kitagawa, and Read’s “Narrative Restrictions and Proxies”," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(4), pages 1429-1433, October.
    • Handle: RePEc:taf:jnlbes:v:40:y:2022:i:4:p:1429-1433
    DOI: 10.1080/07350015.2022.2102022
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    Cited by:

    1. Mathias Krogh & Giovanni Pellegrino, "undated". "Real Activity and Uncertainty Shocks: The Long and the Short of It," "Marco Fanno" Working Papers 0310, Dipartimento di Scienze Economiche "Marco Fanno".

    More about this item

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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