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来源类型Working Paper
规范类型报告
DOI10.3386/w24216
来源IDWorking Paper 24216
Identification and Estimation of Dynamic Causal Effects in Macroeconomics Using External Instruments
James H. Stock; Mark W. Watson
发表日期2018-01-22
出版年2018
语种英语
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
URLhttps://www.nber.org/papers/w24216
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/581889
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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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