Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/338916 
Year of Publication: 
2026
Series/Report no.: 
DIW Discussion Papers No. 2155
Publisher: 
Deutsches Institut für Wirtschaftsforschung (DIW), Berlin
Abstract: 
In structural vector autoregressive analysis it has become quite popular to identify some structural shocks of interest by external instruments or proxies. This study points out a range of areas where such proxies have been used and sketches the way the proxies have been constructed. It reviews identification and estimation methods that have been considered in this context. Moreover, it points out some features such as heteroskedasticity, nonfundamentalness of the shocks and violations of the standard assumptions for proxies that may result in complications.
Subjects: 
Structural vector autoregression
proxy VAR
local projection
weak instruments
internal instruments
external instruments
fundamental shocks
JEL: 
C32
Document Type: 
Working Paper

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