Testing for strong exogeneity in proxy-VARs

DOI10.1016/J.JECONOM.2024.105876MaRDI QIDQ6664665zbMATH OpenFDO

Authors Martin Bruns

Publication date 16 January 2025

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

Full work available at URL https://doi.org/10.1016/J.JECONOM.2024.105876

zbMATH Keywords

exogeneity testproxy VARstructural vector autoregression

Mathematics Subject Classification ID

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

Cites work

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• scientific article; zbMATH DE number 2188315 (Why is no real title available?)
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• Identifying shocks via time-varying volatility
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• Monetary policy, external instruments, and heteroskedasticity
• Statistical inference for independent component analysis: application to structural VAR models
• The analytics of SVARs: a unified framework to measure fiscal multipliers
• TWO-STEP GMM ESTIMATION OF THE ERRORS-IN-VARIABLES MODEL USING HIGH-ORDER MOMENTS

Cited in

(1)

• Estimating fiscal multipliers by combining statistical identification with potentially endogenous proxies

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