Robust Impulse Responses using External Instruments: the Role of Information
外部工具变量下的稳健脉冲响应:信息的作用
External-instrument identification leads to biased responses when the shock is not invertible and the measurement error is present. We propose to use this identification strategy in a structural Dynamic Factor Model, which we call Proxy DFM. In a simulation analysis, we show that the Proxy DFM always successfully retrieves the true impulse responses, while the Proxy SVAR systematically fails to do so when the model is either misspecified, does not include all relevant…