Inference in structural vector autoregressions identified with an external instrument

DOI10.1016/j.jeconom.2020.05.014MaRDI QIDQ2236882

James H. Stock, Mark W. Watson, José Luis Montiel Olea

Publication date: 26 October 2021

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.05.014

zbMATH Keywords

instrumental variables; weak identification; impulse response functions; narrative approach

Mathematics Subject Classification ID

62-XX: Statistics

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

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