| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w24216
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| 来源ID | Working Paper 24216
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| Identification and Estimation of Dynamic Causal Effects in Macroeconomics Using External Instruments |
| James H. Stock; Mark W. Watson
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| 发表日期 | 2018-01-22
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| 出版年 | 2018
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| 语种 | 英语
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| 摘要 | An exciting development in empirical macroeconometrics is the increasing use of external sources of as-if randomness to identify the dynamic causal effects of macroeconomic shocks. This approach – the use of external instruments – is the time series counterpart of the highly successful strategy in microeconometrics of using external as-if randomness to provide instruments that identify causal effects. This lecture exposits this approach and provides conditions on instruments and control variables under which external instrument methods produce valid inference on dynamic causal effects, that is, structural impulse response functions. These conditions can help guide the search for valid instruments in applications. We consider two methods, a one-step instrumental variables regression and a two-step method that entails estimation of a vector autoregression. Under a restrictive instrument validity condition, the onestep method is valid even if the vector autoregression is not invertible, so comparing the two estimates provides a test of invertibility. Under a less restrictive condition, where multiple lagged endogenous variables are needed as control variables in the one-step method, the conditions for validity of the two methods are the same. |
| 主题 | Econometrics
; Estimation Methods
; Macroeconomics
; Macroeconomic Models
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| URL | https://www.nber.org/papers/w24216
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/581889
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推荐引用方式
GB/T 7714 |
James H. Stock,Mark W. Watson. Identification and Estimation of Dynamic Causal Effects in Macroeconomics Using External Instruments. 2018.
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文件名：
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w24216.pdf
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格式：
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Adobe PDF
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