Inference in Structural Vector Autoregressions identified with an external instrument
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DOI: 10.1016/j.jeconom.2020.05.014
Abstract: Abstract This paper studies Structural Vector Autoregressions in which a structural shock of interest (e.g., an oil supply shock) is identified using an external instrument. The external instrument is taken to be correlated with the… read more here.
Keywords: instrument; vector autoregressions; external instrument; structural vector ... See more keywords