Instrumental Variable Estimation of Structural Var Models Robust to Possible Nonstationarity

Research output: Journal Publications and ReviewsRGC 21 - Publication in refereed journalpeer-review

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Detail(s)

Original languageEnglish
Pages (from-to)845-874
Journal / PublicationEconometric Theory
Volume38
Issue number5
Online published11 Jan 2021
Publication statusPublished - Oct 2022

Abstract

This paper considers the estimation of dynamic causal effects using proxy structural vector-autoregressive (proxy SAVR) model with possibly non-stationary regressors. We provide general conditions under which the asymptotic normal approximation remains valid. In this case, the asymptotic variance depends on the persistence property of each series. We further provide a consistent asymptotic covariance matrix estimator that requires neither such knowledge nor pre-tests for nonstationarity. The proposed consistent covariance matrix estimator is robust and is easy to implement in practice. When all regressors are indeed stationary, the method becomes the same as the standard procedure.

Research Area(s)

  • external instruments, non-stationarity, proxy SVAR, robust inference, structural VAR

Bibliographic Note

Research Unit(s) information for this publication is provided by the author(s) concerned.

Citation Format(s)

Instrumental Variable Estimation of Structural Var Models Robust to Possible Nonstationarity. / CHENG, Xu; HAN, Xu; INOUE, Atsushi.
In: Econometric Theory, Vol. 38, No. 5, 10.2022, p. 845-874.

Research output: Journal Publications and ReviewsRGC 21 - Publication in refereed journalpeer-review