Avoiding unintentionally correlated shocks in proxy vector autoregressive analysis
Martin Bruns, Helmut Lütkepohl, and James McNeil
| Year of publication: |
2025
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| Authors: | Bruns, Martin ; Lütkepohl, Helmut ; McNeil, James |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 43.2025, 4, p. 1119-1131
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| Subject: | Correlated shocks | External instruments | Generalized method of moments | Proxy VAR | Structural vector autoregression | VAR-Modell | VAR model | Schock | Shock | Schätztheorie | Estimation theory | Korrelation | Correlation | Momentenmethode | Method of moments |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2025.2476699 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015543021