Review of Proxy Vector and Autoregressive Analysis

Martin Bruns and Helmut Lütkepohl
Additional contact information
Martin Bruns: School of Economics, University of East Anglia
Helmut Lütkepohl: DIW Berlin & FU Berlin

No 2026-01, University of East Anglia School of Economics Working Paper Series from School of Economics, University of East Anglia, Norwich, UK.

Abstract: In structural vector autoregressive analysis it has become quite popular to identify some structural shocks of interest by external instruments or proxies. This study points out a range of areas where such proxies have been used and sketches the way the proxies have been constructed. It reviews identification and estimation methods that have been considered in this context. Moreover, it points out some features such as heteroskedasticity, nonfundamentalness of the shocks and violations of the standard assumptions for proxies that may result in complications.

Keywords: Structural vector autoregression; proxy VAR; local projection; weak instruments; internal instruments; external instruments; fundamental shocks (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Date: 2026-03
References: Add references at CitEc
Citations:

Downloads: (external link)
https://ueaeco.github.io/working-papers/papers/ueaeco/UEA-ECO-2026-01.pdf main text (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:uea:ueaeco:2026-01

Ordering information: This working paper can be ordered from
Reception, School of Economics, University of East Anglia, Norwich Research Park, Norwich, NR4 7TJ, UK

Access Statistics for this paper

More papers in University of East Anglia School of Economics Working Paper Series from School of Economics, University of East Anglia, Norwich, UK. Contact information at EDIRC.
Bibliographic data for series maintained by Cara Liggins ().