Quantitative Economics: Jan, 2021, Volume 12, Issue 1

Identification and inference with ranking restrictions

We propose to add ranking restrictions on impulse‐responses to sign restrictions to narrow the identified set in vector autoregressions (VARs). Ranking restrictions come from micro data on heterogeneous industries in VARs, bounds on elasticities, or restrictions on dynamics. Using both a fully Bayesian conditional uniform prior and prior‐robust inference, we show that these restrictions help to identify productivity news shocks in the data. In the prior‐robust paradigm, ranking restrictions, but not sign restrictions alone, imply that news shocks raise output temporarily, but significantly. This holds both in an application with rankings in the form of heterogeneity restrictions and in another applications with slope restrictions as rankings. Ranking restrictions also narrow bounds on variance decompositions. For example, the bound of the contribution of news shocks to the forecast error variance of output narrows by about 30 pp at the one‐year horizon. While misspecification can be a concern with added restrictions, they are consistent with the data in our applications.

Structural VAR set‐identification sign restrictions ranking restrictions heterogeneity posterior bounds Bayesian inference sampling methods productivity news C32 C53 E32

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March 5, 2024

Announcing the New Journal Editors

The terms of the Editors of the Econometric Society's three journals end June 30, 2025. We are pleased to announce the incoming Editors and to thank the outgoing Editors for their excellent and continuing service.

Econometrica: Since 2019, Guido Imbens has served as the 14th Editor of Econometrica. On July 1, 2025, Marina Halac will become the Editor.

Quantitative Economics: Stéphane Bonhomme has been the Editor of Quantitative Economics since 2021. His successor will be Bernard Salanié.

Theoretical Economics: The Editor of Theoretical Economics since 2021 has been Simon Board. Taking over for him in July 2025 will be Federico Echenique.

Guido, Stéphane, and Simon have been outstanding Editors. We are grateful to them for the work they have done and will continue to do, and we look forward to further congratulating them next year. We believe Marina, Bernard, and Federico will be outstanding successors and we thank them in advance for their service.

Finally, we are grateful to Larry Samuelson for chairing all three search committees, and we thank the search committee members for their hard and fruitful work:

Econometrica: Christian Dustmann, Lars Hansen, Alessandro Lizzeri, George Mailath, Ariel Pakes, Helene Rey, and Elie Tamer.

QE: Kate Ho, Michael Keane, Felix Kubler, Whitney Newey, and Frank Schorfheide.

TE: Jeff Ely, Johannes Horner, Gilat Levy, Meg Meyer, and Ran Spiegler.

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