if your table is really so long that it has to be split between two pages, then you may consider to use xltabular, [referable]{threeparttablex} and makecell (for adding more vertical space around cells contents):
\documentclass{article}\usepackage[skip=1ex]{caption}\usepackage{booktabs, makecell, xltabular}\newcolumntype{C}{>{\centering\arraybackslash}X}\usepackage[referable, flushleft]{threeparttablex}\usepackage{csquotes}\usepackage{lipsum}\begin{document}\lipsum[1-4]\begin{ThreePartTable} \setlength\tabcolsep{3pt} % default: 6pt \setcellgapes{2pt} \makegapedcells \begin{TableNotes}\small\note{This table shows the sign restrictions on the impulse responses for each identified shock. A \enquote{$+$} means that the impulse response of the variable in question is restricted to be positive for six months following the shock, including the month of impact. Likewise, a \enquote{$-$} indicates a negative response. A blank entry indicates that no restrictions have been imposed.} \end{TableNotes}\begin{xltabular}{\linewidth}{@{}>{\itshape}l *{6}{C} @{}}\caption{Identifying Sign Restrictions}\label{tab:lonmngtable} \\ \toprule& Gov. Rev & Gov. Exp & Interest Rate & DFPA & GDP & Infla\-tion \\ \midrule\endfirsthead\caption[]{Identifying Sign Restrictions (cont.)} \\ \toprule& \makecell{Gov.\\ Rev}& \makecell{Gov.\\Exp}& \makecell{Interest\\ Rate}& DFPA & GDP & Inflation \\ \midrule\endhead \bottomrule \multicolumn{7}{r}{\footnotesize\textit{Continue on the next page}}\endfoot \bottomrule \insertTableNotes\endlastfootBusiness Cycle shock & +& & & & +& + \\Monetary Policy shock & & & $-$ & & +& + \\DFPA shock & +& $-$ & & $-$ & & \\xxxx shock & +& $-$ & & $-$ & & \\xxxx shock & +& $-$ & & $-$ & & \\\end{xltabular} \end{ThreePartTable}\end{document}After two compilation the table is:
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Addendum:Considering @Una comment, here is version of your table with notes on the top of the first part of table:
\usepackage[skip=1ex]{caption}\usepackage{booktabs, makecell, xltabular}\newcolumntype{C}{>{\centering\arraybackslash}X}\usepackage[referable, flushleft]{threeparttablex}\usepackage{csquotes}\usepackage{lipsum}\begin{document}\lipsum[1-3]\begin{ThreePartTable} \setlength\tabcolsep{3pt} % default: 6pt \setcellgapes{2pt} \makegapedcells \begin{TableNotes}\small\note{This table shows the sign restrictions on the impulse responses for each identified shock. A \enquote{$+$} means that the impulse response of the variable in question is restricted to be positive for six months following the shock, including the month of impact. Likewise, a \enquote{$-$} indicates a negative response. A blank entry indicates that no restrictions have been imposed.} \end{TableNotes}\begin{xltabular}{\linewidth}{@{}>{\itshape}l *{6}{C} @{}}\caption{Identifying Sign Restrictions}\label{tab:lonmngtable} \\ \insertTableNotes \\ \toprule& Gov. Rev & Gov. Exp & Interest Rate & DFPA & GDP & Infla\-tion \\ \midrule\endfirsthead\caption[]{Identifying Sign Restrictions (cont.)} \\ \toprule& \makecell{Gov.\\ Rev}& \makecell{Gov.\\Exp}& \makecell{Interest\\ Rate}& DFPA & GDP & Inflation \\ \midrule\endhead \bottomrule \multicolumn{7}{r}{\footnotesize\textit{Continue on the next page}}\endfoot \bottomrule\endlastfootBusiness Cycle shock & +& & & & +& + \\Monetary Policy shock & & & $-$ & & +& + \\DFPA shock & +& $-$ & & $-$ & & \\xxxx shock & +& $-$ & & $-$ & & \\xxxx shock & +& $-$ & & $-$ & & \\\end{xltabular} \end{ThreePartTable}\end{document}Image may be NSFW.
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