Nonparametric Time Varying IV-SVARs: Estimation and Inference

Robin Braun, George Kapetanios and Massimiliano Marcellino
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Robin Braun: https://www.federalreserve.gov/econres/robin-braun.htm

No 2025-004, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

Abstract: This paper studies the estimation and inference of time-varying impulse response functions in structural vector autoregressions (SVARs) identified with external instruments. Building on kernel estimators that allow for nonparametric time variation, we derive the asymptotic distributions of the relevant quantities. Our estimators are simple and computationally trivial and allow for potentially weak instruments. Simulations suggest satisfactory empirical coverage even in relatively small samples as long as the underlying parameter instabilities are sufficiently smooth. We illustrate the methods by studying the time-varying effects of global oil supply news shocks on US industrial production.

Keywords: Time-varying parameters; Nonparametric estimation; Structural VAR; External instruments; Weak instruments; Oil supply news shocks; Impulse response analysis (search for similar items in EconPapers)
JEL-codes: C14 C32 C53 C55 (search for similar items in EconPapers)
Pages: 65 p.
Date: 2025-01-06
New Economics Papers: this item is included in nep-ecm, nep-ene and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfe:2025-04

DOI: 10.17016/FEDS.2025.004

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