Abstract
The proposed blended approach combines identification via heteroskedasticity with sign/ narrative restrictions, and instrumental variables. Since heteroskedasticity can point identify shocks, its use results in a sharp reduction of the potentially large identified sets stemming from other approaches. Conversely, sign/narrative restrictions or instrumental variables offer natural solutions to the labeling problem and can help when conditions for point identification through heteroskedasticity are not met. Blending these methods together resolves their respective key issues and leverages their advantages. We illustrate the benefits of the approach in Monte Carlo experiments, and apply it to several examples taken from the literature.
| Lingua originale | Inglese |
|---|---|
| pagine (da-a) | 1-17 |
| Numero di pagine | 17 |
| Rivista | Journal of Monetary Economics |
| Volume | 146 |
| Numero di pubblicazione | 11 |
| DOI | |
| Stato di pubblicazione | Pubblicato - 2024 |
OSS delle Nazioni Unite
Questo processo contribuisce al raggiungimento dei seguenti obiettivi di sviluppo sostenibile
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SDG 8 Lavoro dignitoso e crescita economica
All Science Journal Classification (ASJC) codes
- Finanza
- Economia ed Econometria
Keywords
- Heteroskedasticity
- Identification
- Proxy variables
- SVAR
- Sign restrictions
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