Qualitative versus quantitative external information for proxy vector autoregressive analysis

DOI10.1016/j.jedc.2021.104118zbMath1475.91368OpenAlexW3146059791MaRDI QIDQ2246599

Lukas Boer, Helmut Lütkepohl

Publication date: 16 November 2021

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

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

zbMATH Keywords

GMMinstrumental variable estimationstructural vector autoregressionheteroskedastic VARproxy VAR

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)

Related Items (1)

Identification of SVAR Models by Combining Sign Restrictions With External Instruments

Cites Work

• Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH
• Structural Vector Autoregressive Analysis
• Local Projections and VARs Estimate the Same Impulse Responses
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