Breitung, Jörg; Brüggemann, Ralf - In: Oxford Bulletin of Economics and Statistics 85 (2023) 6, pp. 1320-1340
In this paper we provide a general two‐step framework for linear projection estimators of impulse responses in structural vector autoregressions (SVARs). This framework is particularly useful for situations when structural shocks are identified from information outside the VAR (e.g. narrative...