Working Paper

Comment on Giacomini, Kitagawa and Read's 'Narrative Restrictions and Proxies'

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.

Keywords: Structural VAR; single prior; multiple priors; posterior; joint inference; impulse responses; narrative restrictions;

JEL Classification: C11; C32; C52;

https://doi.org/10.24149/wp2117

Bibliographic Information

Provider: Federal Reserve Bank of Dallas

Part of Series: Working Papers

Publication Date: 2021-12-17

Number: 2117