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• W3207066776 abstract "Proxy structural vector autoregressions identify structural shocks in vector autoregressions with external variables that are correlated with the structural shocks of interest but uncorrelated with all other structural shocks. We provide asymptotic theory for this identification approach under mild α-mixing conditions that cover a large class of uncorrelated, but possibly dependent innovation processes, including conditional heteroskedasticity. We prove consistency of a residual-based moving block bootstrap for inference on statistics such as impulse response functions and forecast error variance decompositions. Wild bootstraps are proven to be generally invalid for these statistics and their coverage rates can be badly and persistently mis-sized." @default.
• W3207066776 created "2021-10-25" @default.
• W3207066776 creator A5013581565 @default.
• W3207066776 creator A5064850830 @default.
• W3207066776 date "2019-05-03" @default.
• W3207066776 modified "2023-09-27" @default.
• W3207066776 title "Asymptotically Valid Bootstrap Inference for Proxy SVARs" @default.
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• W3207066776 doi "https://doi.org/10.26509/frbc-wp-201908" @default.
• W3207066776 hasPublicationYear "2019" @default.
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