Delta-method inference for a class of set-identified SVARs
研究了施加等式或不等式约束来识别单一结构冲击动态响应的向量自回归模型，提出了计算脉冲响应系数识别集极值的算法，并给出了Delta方法进行推断的条件，应用于评估2010年8月量化宽松政策宣布的影响。
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. First, we present an algorithm to compute the largest and smallest value that an impulse-response coefficient can attain over its identified set. Second, we provide conditions under which these largest and smallest values are directionally differentiable functions of the model’s reduced-form parameters. Third, we propose a delta-method approach to conduct inference about the structural impulse-response coefficients. We use our results to assess the effects of the announcement of the Quantitative Easing program in August 2010.