Skip to main content
European Commission logo
English English
CORDIS - EU research results
CORDIS
CORDIS Web 30th anniversary CORDIS Web 30th anniversary

Policy analysis with beliefs about identifying restrictions

Periodic Reporting for period 4 - PABIR (Policy analysis with beliefs about identifying restrictions)

Reporting period: 2021-04-01 to 2022-09-30

This project developed a toolkit of new econometric methods for policy analysis using Structural Vector Autoregressions (one of the leading approaches for conducting empirical macroeconomic policy analysis). The methods allow researchers to relax the strong
- and often dubious - assumptions that were previously made in the literature or to formally incorporate beliefs about the validity of such assumptions. The methods rely on Robust Bayesian analysis, which offers computational advantages and a formal way to incorporate beliefs, while removing the sensitivity to assumptions that plagued existing approaches.
The project resulted in several articles published in Econometrica, Journal of Econometrics, Quantitative Economics and Journal of Business and Economic Statistics, which developed the methods and illustrated their empirical relevance.
One practical implication of the new methods is the suggestion to report set estimators, instead of point estimators. These sets correctly represent what can be learned from the data. The empirical findings in the published articles show that policy conclusions established in the literature can in fact be driven by arbitrary assumptions, thus offering a word of caution to empirical researchers as well as a strong motivation for using the new methods.
image.png