Overview
Jonathan H. Wright is an economist at the Federal Reserve Board of Governors (Division of International Finance; later Johns Hopkins University). His work spans high-frequency identification of monetary policy shocks, weak-instrument inference, and term structure modeling. In Faust-Swanson-Wright (2004) he applied the Stock-Wright (2000) S-set methodology — which he co-developed with James H. Stock — to construct valid confidence sets for monetary VAR impulse responses and variance decompositions under partial identification.
Key Contributions / Features
- Stock-Wright (2000): "GMM with Weak Identification." Co-developed the S-set approach for GMM inference when instruments may be weak: the confidence set A={α:S(α)≤Fχ2} is valid regardless of the rank of the identification matrix, unlike standard Wald-type intervals which collapse under weak identification.
- Faust-Swanson-Wright (2004): Applied S-set inference to the monetary VAR — used the GMM objective S(α)=T(R^α−r^)′[(α⊗IK)V^R(α′⊗IK)+V^r]−1(R^α−r^) with 10 million draws from A+ to construct joint confidence sets for the impulse vector, then Bonferroni bounds for individual functions (IRFs, variance shares).
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