US fiscal policy shocks: Proxy-SVAR overidentification via GMM (replication data)

DOI

Using external instruments one can recover the effects of individual shocks without fully identifying a VAR. We show that fully or almost fully instrumenting a VAR--that is, using an instrument for each shock--allows one to overidentify the model by incorporating the condition that the structural shocks are uncorrelated, via GMM. We apply our approach to a fiscal VAR for the US over 1948-2019, where the overidentifying restrictions are not rejected. The overidentified SVAR yields (a) greater precision in estimating impulse response functions and multipliers and (b) measures of the effects of non-fiscal shocks even when there is no instrument for them.

Identifier
DOI https://doi.org/10.15456/jae.2023261.1237001711
Metadata Access https://www.da-ra.de/oaip/oai?verb=GetRecord&metadataPrefix=oai_dc&identifier=oai:oai.da-ra.de:778389
Provenance
Creator Gregory, Allan W.; McNeil, James; Smith, Gregor W.
Publisher ZBW - Leibniz Informationszentrum Wirtschaft
Publication Year 2023
Rights Creative Commons Attribution 4.0 (CC-BY); Download
OpenAccess true
Contact ZBW - Leibniz Informationszentrum Wirtschaft
Representation
Language English
Resource Type Collection
Discipline Economics