Comparing External and Internal Instruments for Vector Autoregressions
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More about this item
Keywords
Structural vector autoregression; proxy VAR; augmented VAR; fundamental shocks; invertible VAR;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-2025-02-24 (Econometric Time Series)
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