Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/226817
Authors: 
Boer, Lukas
Lütkepohl, Helmut
Year of Publication: 
2020
Series/Report no.: 
DIW Discussion Papers No. 1905
Abstract: 
A major challenge for proxy vector autoregressive analysis is the construction of a suitable instrument variable for identifying a shock of interest. We propose a simple proxy that can be constructed whenever the dating and sign of particular shocks are known. It is shown that the proxy can lead to impulse response estimates of the impact effects of the shock of interest that are nearly as efficient as or even more efficient than estimators based on a conventional, more sophisticated proxy.
Subjects: 
GMM
heteroskedastic VAR
instrumental variable estimation
proxy VAR
structural vector autoregression
JEL: 
C32
Document Type: 
Working Paper

Files in This Item:
File
Size
536.34 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.