US fiscal policy shocks: Proxy‐SVAR overidentification via GMM
美国财政政策冲击:通过 GMM 实现代理变量 SVAR 过度识别
Summary Using external instruments, one can recover the effects of individual shocks without fully identifying a vector autoregression (VAR). We show that fully or almost fully instrumenting a VAR—that is, using an instrument for each shock—allows one to overidentify the model by incorporating the condition that the structural shocks are uncorrelated, via the generalized method of moments (GMM). We apply our approach to a fiscal VAR for the United States over 1948–2019,…