Amir Ahmadi, Pooyan; Drautzburg, Thorsten - In: Quantitative economics : QE ; journal of the … 12 (2021) 1, pp. 1-39
We propose to add ranking restrictions on impulse-responses to sign restrictions to narrow the identified set in vector … autoregressions (VARs). Ranking restrictions come from micro data on heterogeneous industries in VARs, bounds on elasticities, or … restrictions help to identify productivity news shocks in the data. In the prior-robust paradigm, ranking restrictions, but not …