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 may be misid...
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| Format: | Article |
| Language: | English |
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American Economic Association
2022
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| Online Access: | https://hdl.handle.net/1721.1/145247 |