IDENTIFICATION AND ESTIMATION OF DYNAMIC CAUSAL EFFECTS IN MACROECONOMICS USING EXTERNAL INSTRUMENTS

• 成果类型: Article; Proceedings Paper
• 署名作者: Stock, James H.; Watson, Mark W.
• 署名单位: Harvard University; National Bureau of Economic Research; Princeton University
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1111/ecoj.12593
• 发表日期: 2018
• 页码: 917-948
• 关键词: monetary-policy surprises; interest-rates; Tax changes; models; shocks; inference; MARKET; tests

摘要

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.