Refining the workhorse oil market model
探讨了Kilian和Murphy（2014）石油市场结构向量自回归模型的五种改进，包括修正经济活动度量、加入符号限制等，发现原模型的主要结论基本不变。
Summary The Kilian and Murphy ( Journal of Applied Econometrics , 2014, 29 , 454–478) structural vector autoregressive model has become the workhorse model for the analysis of oil markets. I explore various refinements and extensions of this model, including the effects of (1) correcting an error in the measure of global real economic activity, (2) explicitly incorporating narrative sign restrictions into the estimation, (3) relaxing the upper bound on the impact price elasticity of oil supply, (4) evaluating the implied posterior distribution of the structural models, and (5) extending the sample. I demonstrate that the substantive conclusions of Kilian and Murphy (2014) are largely unaffected by these changes.