Identification with external instruments in structural VARs under partial invertibility - Sciences Po Access content directly
Preprints, Working Papers, ... Year : 2018

Identification with external instruments in structural VARs under partial invertibility

Abstract

This paper discusses the conditions for indentification with external instruments in Structural VARs under partial invertibility. We observe that in this case the shocks of interest and their effects can be recovered using an external instrument, provided that a condition of limited lag exogeneity holds. This condition is weaker than that required for LP-IV, and allows for recoverability of impact effects also une VAR misspecification. We assess our claims in a simulated environment, and provide an emirical application to the relevant cas of identification of monetary policy shocks.
Fichier principal
Vignette du fichier
wp2018-24-identification-with-external-instruments-smiranda-agrippino.pdf (862.75 Ko) Télécharger le fichier
Origin : Publisher files allowed on an open archive

Dates and versions

hal-03475454 , version 1 (10-12-2021)

Identifiers

Cite

Silvia Miranda Agrippino, Giovanni Ricco. Identification with external instruments in structural VARs under partial invertibility. 2018. ⟨hal-03475454⟩

Collections

SCIENCESPO USPC
44 View
106 Download

Share

Gmail Facebook X LinkedIn More