 Asymptotically Valid Bootstrap Inference for Proxy SVARsCarsten Jentsch and Kurt Lunsford Journal of Business & Economic Statistics, 2022, vol. 40, issue 4, 1876-1891 Abstract: Proxy structural vector autoregressions identify structural shocks in vector autoregressions with external variables that are correlated with the structural shocks of interest but uncorrelated with all other structural shocks. We provide asymptotic theory for this identification approach under mild α-mixing conditions that cover a large class of uncorrelated, but possibly dependent innovation processes. We prove consistency of a residual-based moving block bootstrap (MBB) for inference on statistics such as impulse response functions and forecast error variance decompositions. The MBB serves as the basis for constructing confidence intervals when the proxy variables are strongly correlated with the structural shocks of interest. For the case of one proxy variable used to identify one structural shock, we show that the MBB can be used to construct confidence sets for normalized impulse responses that are valid regardless of proxy strength based on the inversion of the Anderson and Rubin statistic suggested by Montiel Olea, Stock, and Watson. Date: 2022 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:taf:jnlbes:v:40:y:2022:i:4:p:1876-1891 Ordering information: This journal article can be ordered from DOI: 10.1080/07350015.2021.1990770 Access Statistics for this article Journal of Business & Economic Statistics is currently edited by Eric Sampson, Rong Chen and Shakeeb Khan More articles in Journal of Business & Economic Statistics from Taylor & Francis Journals |
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