Search: IT
RBA Glossary definition for IT
IT – Information Technology
Search Results
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
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
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
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
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
Identification and Inference under Narrative Restrictions
26 Oct 2023
RDP
2023-07
k. ). |. Consequently, the likelihood is not necessarily flat when it is non-zero. ... It is common to impose sign restrictions on the impulse responses (e.g.
https://www.rba.gov.au/publications/rdp/2023/2023-07/full.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
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