| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w29044 |
| 来源ID | Working Paper 29044 |
| Instrumental Variable Identification of Dynamic Variance Decompositions | |
| Mikkel Plagborg-Møller; Christian K. Wolf | |
| 发表日期 | 2021-07-19 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Econometrics ; Estimation Methods |
| URL | https://www.nber.org/papers/w29044 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/586718 |
| 推荐引用方式 GB/T 7714 | Mikkel Plagborg-Møller,Christian K. Wolf. Instrumental Variable Identification of Dynamic Variance Decompositions. 2021. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w29044.pdf（592KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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