Arbeitspapier
A simple instrument for proxy vector autoregressive analysis
A major challenge for proxy vector autoregressive analysis is the construction of a suitable instrument variable for identifying a shock of interest. We propose a simple proxy that can be constructed whenever the dating and sign of particular shocks are known. It is shown that the proxy can lead to impulse response estimates of the impact effects of the shock of interest that are nearly as efficient as or even more efficient than estimators based on a conventional, more sophisticated proxy.
- Language
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Englisch
- Bibliographic citation
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Series: DIW Discussion Papers ; No. 1905
- Classification
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Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- Subject
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GMM
heteroskedastic VAR
instrumental variable estimation
proxy VAR
structural vector autoregression
- Event
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Geistige Schöpfung
- (who)
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Boer, Lukas
Lütkepohl, Helmut
- Event
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Veröffentlichung
- (who)
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Deutsches Institut für Wirtschaftsforschung (DIW)
- (where)
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Berlin
- (when)
-
2020
- Handle
- Last update
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10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Boer, Lukas
- Lütkepohl, Helmut
- Deutsches Institut für Wirtschaftsforschung (DIW)
Time of origin
- 2020
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Vector Autoregressive Analysis
Vector autoregressive analysis
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