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ToolsBruns, Martin, Lütkepohl, Helmut and McNeil, James (2025) Avoiding unintentionally correlated shocks in proxy vector autoregressive analysis. Journal of Business & Economic Statistics. ISSN 0735-0015
Full text not available from this repository. (Request a copy)Abstract
Noting that the shocks in vector autoregressive models can be correlated if a number of shocks is identified individually by multiple proxy variables, we propose a Generalized Method of Moments (GMM) approach for estimation that enforces uncorrelated shocks. We point out that if each proxy identifies exactly one shock and is uncorrelated with all other shocks, uncorrelatedness of the shocks provides over-identifying restrictions that can be used in our approach to improve the estimation efficiency of the structural parameters. It also opens up the possibility to use Hansen’s J-test to check the model specification. Our method generalizes other GMM proposals that work under more restrictive assumptions. We illustrate its usefulness by two empirical examples from the recent literature.
| Item Type: | Article |
|---|---|
| Additional Information: | Funding information: Martin Bruns thanks the British Academy for financial support, grant number TDA22/220046. James McNeil acknowledges the support of the Social Sciences and Humanities Research Council (SSHRC), Insight Development Grant number 430-2022-0007. |
| Faculty \ School: | Faculty of Social Sciences > School of Economics |
| UEA Research Groups: | Faculty of Social Sciences > Research Groups > Applied Econometrics And Finance Faculty of Science > Research Groups > Statistics |
| Related URLs: | |
| Depositing User: | LivePure Connector |
| Date Deposited: | 29 Apr 2025 15:33 |
| Last Modified: | 01 May 2025 11:30 |
| URI: | https://ueaeprints.uea.ac.uk/id/eprint/99144 |
| DOI: | 10.1080/07350015.2025.2476699 |
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