Uncertainty about the future rises in recessions. But is uncertainty a source of business
cycles or an endogenous response to them, and does the type of uncertainty matter? We …

In this paper, we develop algorithms to independently draw from a family of conjugate
posterior distributions over the structural parameterization when sign and zero restrictions …

Are optimism shocks an important source of business cycle fluctuations? Are deficit-financed
tax cuts better than deficit-financed spending to increase output? These questions have …

Simultaneous confidence bands are versatile tools for visualizing estimation uncertainty for
parameter vectors, such as impulse response functions. In linear models, it is known that that …

Point estimates and error bands for SVARs that are set identified are only justified if the
researcher is persuaded that some parameter values are a priori more plausible than others …

We propose a bootstrap‐based calibrated projection procedure to build confidence intervals
for single components and for smooth functions of a partially identified parameter vector in …

We study vector autoregressions that impose equality and/or inequality restrictions to set-
identify the dynamic responses to a single structural shock. We make three contributions …

It is well known that the covariance structure of the data alone is not enough to identify an
SVAR, and the conventional approach is to impose restrictions on the parameters of the …

Identification in VARs has traditionally mainly relied on second moments. Some researchers
have considered using higher moments as well, but there are concerns about the strength of …

There is a fast growing literature that set‐identifies structural vector autoregressions
(SVARs) by imposing sign restrictions on the responses of a subset of the endogenous …