Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/149587
Authors: 
Jentsch, Carsten
Lunsford, Kurt G.
Year of Publication: 
2016
Series/Report no.: 
Working Paper Series, Department of Economics, University of Mannheim 16-10
Abstract: 
Proxy structural vector autoregressions (SVARs)identify structural shocks in vector autoregressions (VARs) with external proxy variables that are correlated with the structural shocks of interest but uncorrelated with other structural shocks. We provide asymptotic theory for proxy SVARs when the VAR innovations and proxy variables are jointly a-mixing. We also prove the asymptotic validity of a residual-based moving block bootstrap (MBB) for inference on statistics that depend jointly on estimators for the VAR coeffcients and for covariances of the VAR innovations and proxy variables. These statistics include structural impulse response functions (IRFs). Conversely, wild bootstraps are invalid, even when innovations and proxy variables are either independent and identically distributed or martingale difference sequences, and simulations show that their coverage rates for IRFs can be badly mis-sized. Using the MBB to re-estimate confidence intervals for the IRFs in Mertens and Ravn (2013), we show that inferences cannot be made about the effects of tax changes on output, labor, or investment.
Subjects: 
Fiscal Policy
Mixing
Residual-Based Moving Block Bootstrap
Structural Vector Autoregression
Tax Shocks
Wild Bootstrap
JEL: 
C32
E23
E62
H24
H25
H31
H32
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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