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RBA Glossary definition for IT
IT – Information Technology
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Identification and Inference under Narrative Restrictions
26 Oct 2023
RDP
2023-07
We provide formal results on identification, propose a computationally tractable robust Bayesian method that eliminates prior sensitivity, and show that it is asymptotically valid from a frequentist perspective.
https://www.rba.gov.au/publications/rdp/2023/2023-07.html
Conclusion
26 Oct 2023
RDP
2023-07
In this context it should also be possible to impose narrative restrictions and to conduct inference using robust Bayesian methods, but we leave this analysis to future research.
https://www.rba.gov.au/publications/rdp/2023/2023-07/conclusion.html
Non-technical summary for ‘Identification and Inference under Narrative Restrictions’
26 Oct 2023
RDP
2023-07
Recently, it has become common to replace or augment traditional sign restrictions with a new type of identifying restriction. ... To draw strong conclusions, it is necessary to impose restrictions on the contribution of the shock to observed changes in
https://www.rba.gov.au/publications/rdp/2023/2023-07/non-technical-summary.html
Frequentist Coverage
26 Oct 2023
RDP
2023-07
It holds, for instance, when s(y. T. ) corresponds to one or a few observations in the whole sample, as we had in the example of Section 2.1. ... Even if the point-identification condition of Proposition 4.1 holds for the impulse response, it is not
https://www.rba.gov.au/publications/rdp/2023/2023-07/frequentist-coverage.html
Appendix B: Proofs
26 Oct 2023
RDP
2023-07
T. ). ,. ϕ. 0. ). To prove the claim, it suffices to focus on the asymptotic behaviour of the coverage probability for the conditional identified set shown in the right-hand side. ... It would be straightforward to extend the conditions here to
https://www.rba.gov.au/publications/rdp/2023/2023-07/appendix-b.html
Bivariate Example
26 Oct 2023
RDP
2023-07
k. ). |. Consequently, the likelihood is not necessarily flat when it is non-zero. ... θ. (when it is non-zero) and depends on. θ. only through the points of truncation.
https://www.rba.gov.au/publications/rdp/2023/2023-07/bivariate-example.html
Bayesian Inference under NR
26 Oct 2023
RDP
2023-07
As discussed in Uhlig (2017), it may instead be preferable to use a prior that is conditionally uniform over the identified set for Q. ... N. (. ϕ. ,. Q. ,. Y. T. ). The final expression for the posterior makes it clear that any prior for.
https://www.rba.gov.au/publications/rdp/2023/2023-07/bayesian-inference-under-nr.html
Identification under NR
26 Oct 2023
RDP
2023-07
Since the support of the distribution of observables can depend on the parameters, it is convenient to work with the Hellinger distance:. ... 4.2 Conditional identified set. It is well-known that traditional sign restrictions.
https://www.rba.gov.au/publications/rdp/2023/2023-07/identification-under-nr.html
Introduction
26 Oct 2023
RDP
2023-07
The prior sensitivity of the existing Bayesian approach makes it difficult to know whether apparently informative inference obtained in empirical studies (e.g. ... Plagborg-Møller (2022) argues that such an approach possesses several appealing
https://www.rba.gov.au/publications/rdp/2023/2023-07/introduction.html
General Framework
26 Oct 2023
RDP
2023-07
It is common to impose sign restrictions on the impulse responses (e.g. ... It is straightforward to additionally allow for zero restrictions, so long as these are not over-identifying.
https://www.rba.gov.au/publications/rdp/2023/2023-07/general-framework.html