Invalid Proxies and Volatility Changes

DOI10.1080/07350015.2025.2602857MaRDI QIDQ7405261zbMATH OpenFDO

Authors Giovanni Angelini, Luca Fanelli, Luca Neri

Publication date 2026

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2025.2602857

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• An identification and testing strategy for proxy-SVARs with weak proxies
• Asymptotically Valid Bootstrap Inference for Proxy SVARs
• Do we reject restrictions identifying fiscal shocks? Identification based on non-Gaussian innovations
• Efficient estimation with time-varying information and the New Keynesian Phillips curve
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• Heteroscedastic Proxy Vector Autoregressions
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• Identification of structural vector autoregressions through higher unconditional moments
• Identification of SVAR Models by Combining Sign Restrictions With External Instruments
• Identification Using Stability Restrictions
• Identifying shocks via time-varying volatility
• Inference in Bayesian proxy-SVARs
• Inference in structural vector autoregressions identified with an external instrument
• Inference in VARs with conditional heteroskedasticity of unknown form
• Instrumental Variables Regression with Weak Instruments
• Monetary policy, external instruments, and heteroskedasticity
• On the relevance of weaker instruments
• Robust Bayesian inference in proxy SVARs
• The analytics of SVARs: a unified framework to measure fiscal multipliers

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