Identification with External Instruments in Structual VARs under partial invertibility

Silvia Miranda-Agrippino and Giovanni Ricco ()

No 2018-24, Documents de Travail de l'OFCE from Observatoire Francais des Conjonctures Economiques (OFCE)

Abstract: This paper discusses the conditions for identification with external instruments in Structural VARs under partial invertibility. We observe that in this case the shocks of interest and their effects can be recovered using an external instrument, provided that a condition of limited lag exogeneity holds.This condition is weaker than that required for LP-IV, and allows for recoverability of impact efects also under VAR misspecification. We assess our claims in a simulated environment and provide an empirical application to the relevant cas of identification of monetary policy shocks.

Keywords: Identification with external instruments; Structural VAR; Invertibility; Monetary Policy Shocks (search for similar items in EconPapers)
JEL-codes: C32 C36 E30 E52 (search for similar items in EconPapers)
Date: 2018-07
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Citations: View citations in EconPapers (14)

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Related works:
Working Paper: Identification with External Instruments in Structural VARs under Partial Invertibility (2019)
Working Paper: Identification with external instruments in structural VARs under partial invertibility (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:fce:doctra:1824

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