An identification and testing strategy for proxy-SVARs with weak proxies

DOI10.1016/j.jeconom.2023.105604arXiv2210.04523MaRDI QIDQ6193061

Giovanni Angelini, Giuseppe Cavaliere, Luca Fanelli

Publication date: 13 February 2024

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2210.04523

zbMATH Keywords

identificationbootstrap inferenceexternal instrumentsproxy-SVARoil supply shock

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Unnamed Item
• Estimating structural VARMA models with uncorrelated but non-independent error terms
• Inference in VARs with conditional heteroskedasticity of unknown form
• Edgeworth correction by bootstrap in autoregressions
• Asymptotic properties of the Hahn-Hausman test for weak-instruments
• Robust Bayesian inference in proxy SVARs
• Inference in structural vector autoregressions identified with an external instrument
• Inference in Bayesian proxy-SVARs
• Estimation and Inference With Weak, Semi-Strong, and Strong Identification
• The Analytics of SVARs: A Unified Framework to Measure Fiscal Multipliers
• Instrumental Variables Regression with Weak Instruments
• Inference Under Random Limit Bootstrap Measures
• Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors
• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• The bootstrap and Edgeworth expansion

This page was built for publication: An identification and testing strategy for proxy-SVARs with weak proxies