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A simple instrument for proxy vector autoregressive analysis

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Authors and Corporations: Boer, Lukas (Author), Lütkepohl, Helmut (Author)
Other Authors: Lütkepohl, Helmut 1951- [Author]
Type of Resource: E-Book
Language: English
published:
Berlin DIW Berlin, German Institute for Economic Research 2020
Series: Deutsches Institut für Wirtschaftsforschung: Discussion papers ; 1905
Source: Verbunddaten SWB
Lizenzfreie Online-Ressourcen
Description
Summary: 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.
Physical Description: 1 Online-Ressource (circa 28 Seiten); Illustrationen