Qualitative versus quantitative external information for proxy vector autoregressive analysis

DOI10.1016/J.JEDC.2021.104118MaRDI QIDQ2246599zbMATH OpenOpenAlexFDO

Authors Lukas Boer, Helmut Lütkepohl

Publication date 16 November 2021

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

Full work available at URL http://hdl.handle.net/10419/233051

zbMATH Keywords

GMMheteroskedastic VARinstrumental variable estimationproxy VARstructural vector autoregression

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Macroeconomic theory (monetary models, models of taxation) (91B64) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Recommendations

• Proxy vector autoregressions in a data-rich environment
• Comparison of local projection estimators for proxy vector autoregressions
• Proxy SVAR identification of monetary policy shocks -- Monte Carlo evidence and insights for the US
• Delta-method inference for a class of set-identified SVARs
• Bounding the Effects of Proxy Variables on Regression Coefficients

Cites work

• Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH
• scientific article; zbMATH DE number 3436435 (Why is no real title available?)
• scientific article; zbMATH DE number 2199188 (Why is no real title available?)
• Local projections and VARs estimate the same impulse responses
• Structural vector autoregressive analysis

Cited in

(6)

• Comparison of local projection estimators for proxy vector autoregressions
• Proxy vector autoregressions in a data-rich environment
• Identification of SVAR Models by Combining Sign Restrictions With External Instruments
• Narrative Restrictions and Proxies
• Comparing external and internal instruments for vector autoregressions
• Avoiding Unintentionally Correlated Shocks in Proxy Vector Autoregressive Analysis

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