Instrumental Variable Identification of Dynamic Variance Decompositions
Fuente:
arXiv
Enregistré dans:
| Auteurs principaux: | , |
|---|---|
| Format: | Preprint |
| Publié: |
2020
|
| Sujets: | |
| Accès en ligne: | |
| Tags: |
Ajouter un tag
Pas de tags, Soyez le premier à ajouter un tag!
|
| _version_ | 1866909392891281408 |
|---|---|
| author | Plagborg-Møller, Mikkel Wolf, Christian K. |
| author_facet | Plagborg-Møller, Mikkel Wolf, Christian K. |
| contents | Macroeconomists increasingly use external sources of exogenous variation for causal inference. However, unless such external instruments (proxies) capture the underlying shock without measurement error, existing methods are silent on the importance of that shock for macroeconomic fluctuations. We show that, in a general moving average model with external instruments, variance decompositions for the instrumented shock are interval-identified, with informative bounds. Various additional restrictions guarantee point identification of both variance and historical decompositions. Unlike SVAR analysis, our methods do not require invertibility. Applied to U.S. data, they give a tight upper bound on the importance of monetary shocks for inflation dynamics. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2011_01380 |
| institution | arXiv |
| publishDate | 2020 |
| record_format | arxiv |
| spellingShingle | Instrumental Variable Identification of Dynamic Variance Decompositions Plagborg-Møller, Mikkel Wolf, Christian K. Econometrics Macroeconomists increasingly use external sources of exogenous variation for causal inference. However, unless such external instruments (proxies) capture the underlying shock without measurement error, existing methods are silent on the importance of that shock for macroeconomic fluctuations. We show that, in a general moving average model with external instruments, variance decompositions for the instrumented shock are interval-identified, with informative bounds. Various additional restrictions guarantee point identification of both variance and historical decompositions. Unlike SVAR analysis, our methods do not require invertibility. Applied to U.S. data, they give a tight upper bound on the importance of monetary shocks for inflation dynamics. |
| title | Instrumental Variable Identification of Dynamic Variance Decompositions |
| topic | Econometrics |
| url | https://arxiv.org/abs/2011.01380 |