Identification and Estimation of Dynamic Causal Effects in Macroeconomics Using External Instruments

IF 3.8 2区 经济学 Q1 ECONOMICS Economic Journal Pub Date : 2018-05-07 DOI:10.1111/ecoj.12593
James H. Stock, Mark W. Watson
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引用次数: 362

Abstract

External sources of as-if randomness — that is, external instruments — can be used to identify the dynamic causal effects of macroeconomic shocks. One method is a one-step instrumental variables regression (local projections – IV); a more efficient two-step method involves a vector autoregression. We show that, under a restrictive instrument validity condition, the one-step method is valid even if the vector autoregression is not invertible, so comparing the two estimates provides a test of invertibility. If, however, lagged endogenous variables are needed as control variables in the one-step method, then the conditions for validity of the two methods are the same.

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利用外部工具识别和估计宏观经济学中的动态因果效应
看似随机性的外部来源——即外部工具——可以用来确定宏观经济冲击的动态因果效应。一种方法是一步工具变量回归(局部预测- IV);一个更有效的两步方法涉及向量自回归。我们证明,在有限的工具效度条件下,即使向量自回归不可逆,一步法也是有效的,因此比较两种估计提供了可逆性的检验。但是,如果一步法中需要滞后的内生变量作为控制变量,则两种方法的有效性条件相同。
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来源期刊
Economic Journal
Economic Journal ECONOMICS-
CiteScore
6.60
自引率
3.10%
发文量
82
期刊介绍: The Economic Journal is the Royal Economic Society''s flagship title, and is one of the founding journals of modern economics. Over the past 125 years the journal has provided a platform for high quality and imaginative economic research, earning a worldwide reputation excellence as a general journal publishing papers in all fields of economics for a broad international readership. It is invaluable to anyone with an active interest in economic issues and is a key source for professional economists in higher education, business, government and the financial sector who want to keep abreast of current thinking in economics.
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