Narrative Restrictions and Proxies
比较了在结构向量自回归中利用结构性冲击符号信息的两种方法：施加叙事限制和将符号信息作为离散叙事代理，发现叙事代理在已知符号期数少时置信区间覆盖扭曲，而叙事限制的贝叶斯可信区间覆盖超过名义水平。
We compare two approaches to using information about the signs of structural shocks at specific dates within a structural vector autoregression (SVAR): imposing "narrative restrictions" (NR) on the shock signs in an otherwise set-identified SVAR; and casting the information about the shock signs as a discrete-valued "narrative proxy" (NP) to point-identify the impulse responses. The NP is likely to be "weak" given that the sign of the shock is typically known in a small number of periods, in which case the weak-proxy robust confidence intervals in Montiel Olea, Stock, and Watson are the natural approach to conducting inference. However, we show both theoretically and via Monte Carlo simulations that these confidence intervals have distorted coverage-which may be higher or lower than the nominal level-unless the sign of the shock is known in a large number of periods. Regarding the NR approach, we show that the prior-robust Bayesian credible intervals from Giacomini, Kitagawa, and Read deliver coverage exceeding the nominal level, but which converges toward the nominal level as the number of NR increases.