Instrumental Variable Estimation of Structural Var Models Robust to Possible Nonstationarity
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Author(s)
Related Research Unit(s)
Detail(s)
Original language | English |
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Pages (from-to) | 845-874 |
Journal / Publication | Econometric Theory |
Volume | 38 |
Issue number | 5 |
Online published | 11 Jan 2021 |
Publication status | Published - Oct 2022 |
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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.
In: Econometric Theory, Vol. 38, No. 5, 10.2022, p. 845-874.
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review