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Identifying Structural Vars with a Proxy Variable and a Test for a Weak Proxy
TLDR
In this article, a simple estimator is developed to identify structural shocks in vector autoregressions (VARs) by using a proxy variable that is correlated with the structural shock of interest but uncorrelated with other structural shocks.Abstract:
This paper develops a simple estimator to identify structural shocks in vector autoregressions (VARs) by using a proxy variable that is correlated with the structural shock of interest but uncorrelated with other structural shocks. When the proxy variable is weak, modeled as local to zero, the estimator is inconsistent and converges to a distribution. This limiting distribution is characterized, and the estimator is shown to be asymptotically biased when the proxy variable is weak. The F statistic from the projection of the proxy variable onto the VAR errors can be used to test for a weak proxy variable, and the critical values for different VAR dimensions, levels of asymptotic bias, and levels of statistical significance are provided. An important feature of this F statistic is that its asymptotic distribution does not depend on parameters that need to be estimated.read more
Citations
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The Time-Varying Effect of Monetary Policy on Asset Prices
TL;DR: In this paper, the authors developed an estimator that uses high-frequency surprises as a proxy for the structura of the real economy in the United States and used this estimator to predict asset prices and real economy.
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Inference in Structural Vector Autoregressions identified with an external instrument
TL;DR: In this article, an external instrument is taken to be correlated with the target structural shock and to be uncorrelated with other shocks of the model (the instrument is exogenous).
Report SeriesDOI
Proxy SVARs: Asymptotic Theory, Bootstrap Inference, and the Effects of Income Tax Changes in the United States
Carsten Jentsch,Kurt G. Lunsford +1 more
TL;DR: In this article, the authors provide asymptotic theory for proxy structural vector autoregressions (SVARs) when the VAR innovations and proxy variables are jointly a-mixing.
Journal ArticleDOI
Inference in Bayesian Proxy-Svars
TL;DR: Algorithms for exact finite sample inference in this class of time series models, commonly known as proxy-SVARs, can handle the case of set identification and hence they can be used to relax the additional exclusion restrictions unrelated to the external instruments often imposed to facilitate inference.
References
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A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
TL;DR: In this article, a parameter covariance matrix estimator which is consistent even when the disturbances of a linear regression model are heteroskedastic is presented, which does not depend on a formal model of the structure of the heteroSkewedness.
Journal ArticleDOI
Macroeconomics and reality
TL;DR: In this article, the authors argue that the style in which their builders construct claims for a connection between these models and reality is inappropriate, to the point at which claims for identification in these models cannot be taken seriously.
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The Impact of Uncertainty Shocks
TL;DR: In this paper, a model with a time varying second moment is proposed to simulate a macro uncertainty shock, which produces a rapid drop and rebound in aggregate output and employment, which occurs because higher uncertainty causes firms to temporarily pause their investment and hiring.
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A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments
TL;DR: Weak instruments arise when the instruments in linear instrumental variables (IV) regression are weakly correlated with the included endogenous variables as mentioned in this paper, and weak instruments correspond to weak identification of some or all of the unknown parameters.
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Instrumental Variables Regression with Weak Instruments
TL;DR: In this article, the authors developed asymptotic distribution theory for instrumental variable regression when the partial correlation between the instruments and a single included endogenous variable is weak, here modeled as local to zero.