Comparing external and internal instruments for vector autoregressions

DOI10.1016/J.JEDC.2025.105131MaRDI QIDQ6892230zbMATH OpenFDO

Authors Martin Bruns, Helmut Lütkepohl

Publication date 1 December 2025

Published in Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.JEDC.2025.105131

zbMATH Keywords

augmented VARfundamental shocksinvertible VARproxy VARstructural vector autoregression

Mathematics Subject Classification ID

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

Cites work

• Comparison of local projection estimators for proxy vector autoregressions
• scientific article; zbMATH DE number 951459 (Why is no real title available?)
• scientific article; zbMATH DE number 2199188 (Why is no real title available?)
• Inference in Bayesian proxy-SVARs
• Inference in structural vector autoregressions identified with an external instrument
• Large Bayesian SVARs with linear restrictions
• Local projections and VARs estimate the same impulse responses
• Qualitative versus quantitative external information for proxy vector autoregressive analysis
• Robust Bayesian inference in proxy SVARs
• Structural vector autoregressive analysis

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