Projection Inference for set-identified SVARs
We study the properties of the classical \emph{projection} method to conduct simultaneous inference about the coefficients of the structural impulse-response function and their identified set in Structural Vector Autoregressions. We show that -- as the sample size grows large -- projection inference produces regions for the structural parameters and their identified set with both frequentist coverage and robust Bayesian credibility of at least $1-α$. We then calibrate the radius of the Wald ellipsoid to guarantee that -- for a given posterior on the reduced-form parameters -- the robust Bayesian credibility of the projection method is exactly $1-α$. If the bounds of the identified set are differentiable, our calibrated projection also covers the product of the identified sets for each structural parameter of interest with probability $1-α$. We illustrate the main results of the paper using a demand/supply-model of the U.S.~labor market.
Publication Details
- Journal
- ArXiv.org
- Published
- 2025-04-18
- Primary Topic
- Consumer Market Behavior and Pricing
- Type
- article
- Field-Weighted Citation Impact
- 0.00