论文标题
代理人代理较弱的识别和测试策略
An identification and testing strategy for proxy-SVARs with weak proxies
论文作者
论文摘要
当用于识别目标结构冲击的代理(外部工具)较弱时,代理 - 六维体(SVAR-IV)的推断是非标准的,并且构造利益脉冲响应的渐近有效置信集需要弱化的仪器鲁棒方法。在存在多个目标冲击的情况下,测试反演技术需要对代理参数的额外限制,而代理参数可能难以解释和测试。我们表明,如果可以通过使用“强”仪器用于非目标冲击,可以鉴定出代理 - 武器,则可以通过最小距离估计和标准渐近方法通过最小距离估计和标准渐近方法进行频繁的渐近推论;即分析中没有主要兴趣的冲击。建议的识别策略取决于基于自举重新采样的仪器相关性的新型预测试,这不受预测试问题的影响,从某种意义上说,测试后渐近推断的有效性不受测试结果的影响。该测试对于有条件的异质性和/或零审核的代理是可靠的,无论仪器的冲击次数如何,计算方面都是直接且适用的。一些说明性的例子显示了建议的识别和测试策略的经验实用性。
When proxies (external instruments) used to identify target structural shocks are weak, inference in proxy-SVARs (SVAR-IVs) is nonstandard and the construction of asymptotically valid confidence sets for the impulse responses of interest requires weak-instrument robust methods. In the presence of multiple target shocks, test inversion techniques require extra restrictions on the proxy-SVAR parameters other those implied by the proxies that may be difficult to interpret and test. We show that frequentist asymptotic inference in these situations can be conducted through Minimum Distance estimation and standard asymptotic methods if the proxy-SVAR can be identified by using `strong' instruments for the non-target shocks; i.e. the shocks which are not of primary interest in the analysis. The suggested identification strategy hinges on a novel pre-test for the null of instrument relevance based on bootstrap resampling which is not subject to pre-testing issues, in the sense that the validity of post-test asymptotic inferences is not affected by the outcomes of the test. The test is robust to conditionally heteroskedasticity and/or zero-censored proxies, is computationally straightforward and applicable regardless of the number of shocks being instrumented. Some illustrative examples show the empirical usefulness of the suggested identification and testing strategy.