We compare two approaches to using information about the signs of structural shocks at specific dates within a structural vector autoregression (SVAR): imposing ‘narrative restrictions’ (NR) on the shock signs in an otherwise set-identified SVAR; and casting the information about the shock...

This paper studies the properties of the Bayesian approach to estimation and comparison of dynamic equilibrium economies. Both tasks can be performed even if the models are nonnested, misspecified, and nonlinear. First, we show that Bayesian methods have a classical interpretation:...

We compare two approaches to using information about the signs of structural shocks at specific dates within a structural vector autoregression (SVAR): imposing 'narrative restrictions' (NR) on the shock signs in an otherwise setidentified SVAR; and casting the information about the shock signs...

A large sample approximation of the posterior distribution of partially identified structural parameters is derived for models that can be indexed by a finite-dimensional reduced form parameter vector. It is used to analyze the differences between frequentist confidence sets and Bayesian...

This paper examines methods for structural interpretation of vector autoregressions when the identifying information is regarded as imperfect or incomplete. We suggest that a Bayesian approach offers a unifying theme for guiding inference in such settings. Among other advantages, the unified...

A large sample approximation of the posterior distribution of partially identified structural parameters is derived for models that can be indexed by a finite-dimensional reduced form parameter vector. It is used to analyze the differences between frequentist confidence sets and Bayesian...