Qualitative versus quantitative external information for proxy vector autoregressive analysis
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DOI: 10.1016/j.jedc.2021.104118
Abstract: Abstract A major challenge for proxy vector autoregressive analysis is the construction of a suitable external instrument variable or proxy for identifying a shock of interest. Some authors construct sophisticated proxies that account for the… read more here.
Keywords: proxy vector; proxy; vector autoregressive; autoregressive analysis ... See more keywords