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Joint Econometrics Workshop and S.C. Tsiang Macroeconomics Workshop: Raffaella Giacomini

Thursday, October 28, 2021 at 11:15am to 12:45pm

Virtual Event

Raffaella Giacomini, University College, London

Identification and Inference Under Narrative Restrictions (joint w/Toru Kitagawa and Matthew Read)

Abstract: We consider structural vector autoregressions subject to ‘narrative restrictions’, which are inequality restrictions on functions of the structural shocks in specific periods. These restrictions raise novel problems related to identification and inference, and there is currently no frequentist procedure for conducting inference in these models. We propose a solution that is valid from both Bayesian and frequentist perspectives by: 1) formalizing the identification problem un-der narrative restrictions; 2) correcting a feature of the existing (single-prior) Bayesian approach that can distort inference; 3) proposing a robust (multiple-prior) Bayesian approach that is useful for assessing and eliminating the posterior sensitivity that arises in these models due to the likelihood having flat regions; and 4) showing that the robust Bayesian approach has asymptotic frequentist validity. We illustrate our methods by estimating the effects of US monetary policy under a variety of narrative restrictions.


 

 

 

Dial-In Information

If you are interested in participating in this seminar, please email Ulrike Kroeller at uab1@cornell.edu for Zoom information.

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Event Type

Seminar, Class/ Workshop

Departments

Economics

Tags

economics, EconSeminar, EconMetrics, EconMacro

Contact E-Mail

uab1@cornell.edu

Contact Name

Ulrike Kroeller

Contact Phone

6072554254

Speaker

Raffaella Giacomini

Speaker Affiliation

University College, London

Open To

Cornell Economics Commnity (List Service Mambers)