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Cited by 688

The DOI matches its Crossref record; 34 of the 34 references it cites were found in a registry or an index.

Sign Restrictions in Structural Vector Autoregressions: A Critical Review

Fry, Renée, Pagan, Adrian·2011·Journal of Economic Literature
DOI 10.1257/jel.49.4.938
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Abstract

The paper provides a review of the estimation of structural vector autoregressions with sign restrictions. It is shown how sign restrictions solve the parametric identification problem present in structural systems but leaves the model identification problem unresolved. A market and a macro model are used to illustrate these points. Suggestions have been made on how to find a unique model. These are reviewed. An analysis is provided of whether one can recover the true impulse responses and what difficulties might arise when one wishes to use the impulse responses found with sign restrictions. (JEL C32, C51, E12)

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Show all 34 references

Research works printed but not linked: 16

  1. 10.1016/j.jmoneco.2008.09.010 · doi:10.1016/j.jmoneco.2008.09.010
  2. 10.1353/mcb.2006.0056 · doi:10.1353/mcb.2006.0056
  3. Francis Neville R, 2003, Louis Review, 85, 53
  4. 10.1002/jae.1111 · doi:10.1002/jae.1111
  5. 10.1257/0002828041302389 · doi:10.1257/0002828041302389
  6. Jääskelä Jarkko, 2010, Reserve Bank of Australia Economic Research Department Research Discussion Paper, 2010
  7. Jarociński Marek, 2008, Louis Review, 90, 339
  8. 10.1016/j.jeconom.2005.11.007 · doi:10.1016/j.jeconom.2005.11.007
  9. 10.1007/s10290-007-0110-3 · doi:10.1007/s10290-007-0110-3
  10. 10.1016/j.jedc.2008.01.006 · doi:10.1016/j.jedc.2008.01.006
  11. 10.2202/1935-1690.1543 · doi:10.2202/1935-1690.1543
  12. 10.1111/j.1468-2354.2009.00546.x · doi:10.1111/j.1468-2354.2009.00546.x
  13. Preston Alan J, 1978, A. R. Bergstrom, A. J. l. Catt, M. H. Peston, and B. D. J. Silverstone, 275
  14. 10.1016/j.jmacro.2007.12.003 · doi:10.1016/j.jmacro.2007.12.003
  15. Rubio-Ramirez Juan Francisco, 2005, Federal Reserve Bank of Atlanta Working Paper, 2005
  16. Wold Herman O. A., 1951, Sankhy_a, 11, 205

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Metadata

Authors
Fry, R., & Pagan, A.
Venue
Journal of Economic Literature
Publisher
American Economic Association
Published
2011-12-01
Volume
49
Issue
4
Pages
938-960
ISSN
0022-0515 (ISSN-L)
DOI
10.1257/jel.49.4.938
OpenAlex
W2022589678
Cited by
688
References
34
FWCI
133.65
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: Sign Restrictions in Structural Vector Autoregressions: A Critical Review. https://app.cochat.ai/papers/10.1257/jel.49.4.938
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Fry, R., & Pagan, A. (2011). Sign Restrictions in Structural Vector Autoregressions: A Critical Review. Journal of Economic Literature. https://doi.org/10.1257/jel.49.4.938

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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

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