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.

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Journal
ArXiv.org
Published
2025-04-18
Primary Topic
Consumer Market Behavior and Pricing
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Projection Inference for set-identified SVARs

ArXiv.org
Consumer Market Behavior and Pricing
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Projection Inference for set-identified SVARs

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Abstract

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.

ArXiv.org
Decent work and economic growth
Openalex Percentile: Top 41%
Consumer Market Behavior and Pricing
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Projection Inference for set-identified SVARs · ArXiv.org (2025) | TGRS Research Map | TGRS