Essec\Faculty\Model\Contribution {#2233 ▼
#_index: "academ_contributions"
#_id: "2454"
#_source: array:26 [
"id" => "2454"
"slug" => "2454-robust-inference-in-structural-vector-autoregressions-with-long-run-restrictions"
"yearMonth" => "2020-02"
"year" => "2020"
"title" => "Robust Inference in Structural Vector Autoregressions with Long-Run Restrictions"
"description" => "CHEVILLON, G., MAVROEIDIS, S. et ZHAN, Z. (2020). Robust Inference in Structural Vector Autoregressions with Long-Run Restrictions. <i>Econometric Theory</i>, 36(1), pp. 86-121. 
CHEVILLON, G., MAVROEIDIS, S. et ZHAN, Z. (2020). Robust Inference in Structural Vector Autoregressi "
"authors" => array:3 [
0 => array:3 [
"name" => "CHEVILLON Guillaume"
"bid" => "B00072304"
"slug" => "chevillon-guillaume"
]
1 => array:1 [
"name" => "MAVROEIDIS S."
]
2 => array:1 [
"name" => "ZHAN Z."
]
]
"ouvrage" => ""
"keywords" => array:5 [
0 => "SVARs"
1 => "identification"
2 => "weak instruments"
3 => "near unit roots"
4 => "IVX"
]
"updatedAt" => "2023-06-27 13:09:59"
"publicationUrl" => "http://dx.doi.org/10.2139/ssrn.2912251"
"publicationInfo" => array:3 [
"pages" => "86-121"
"volume" => "36"
"number" => "1"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Long-run restrictions are a very popular method for identifying structural vector autoregressions, but they suffer from weak identification when the data is very persistent, i.e., when the highest autoregressive roots are near unity. Near unit roots introduce additional nuisance parameters and make standard weak-instrument robust methods of inference inapplicable. We develop a method of inference that is robust to both weak identification and strong persistence. The method is based on a combination of the Anderson-Rubin test with instruments derived by filtering potentially non-stationary variables to make them near stationary using the IVX instrumentation method of Magdalinos and Phillips (2009). We apply our method to obtain robust confidence bands on impulse responses in two leading applications in the literature. Long-run restrictions are a very popular method for identifying structural vector autoregressions, b "
"en" => "Long-run restrictions are a very popular method for identifying structural vector autoregressions, but they suffer from weak identification when the data is very persistent, i.e., when the highest autoregressive roots are near unity. Near unit roots introduce additional nuisance parameters and make standard weak-instrument robust methods of inference inapplicable. We develop a method of inference that is robust to both weak identification and strong persistence. The method is based on a combination of the Anderson-Rubin test with instruments derived by filtering potentially non-stationary variables to make them near stationary using the IVX instrumentation method of Magdalinos and Phillips (2009). We apply our method to obtain robust confidence bands on impulse responses in two leading applications in the literature. Long-run restrictions are a very popular method for identifying structural vector autoregressions, b "
]
"authors_fields" => array:2 [
"fr" => "Systèmes d'Information, Data Analytics et Opérations"
"en" => "Information Systems, Data Analytics and Operations"
]
"indexedAt" => "2025-04-05T20:21:40.000Z"
"docTitle" => "Robust Inference in Structural Vector Autoregressions with Long-Run Restrictions"
"docSurtitle" => "Articles"
"authorNames" => "<a href="/cv/chevillon-guillaume">CHEVILLON Guillaume</a>, MAVROEIDIS S., ZHAN Z."
"docDescription" => "<span class="document-property-authors">CHEVILLON Guillaume, MAVROEIDIS S., ZHAN Z.</span><br><span class="document-property-authors_fields">Systèmes d'Information, Data Analytics et Opérations</span> | <span class="document-property-year">2020</span> <span class="document-property-authors">CHEVILLON Guillaume, MAVROEIDIS S., ZHAN Z.</span><br><span "
"keywordList" => "<a href="#">SVARs</a>, <a href="#">identification</a>, <a href="#">weak instruments</a>, <a href="#">near unit roots</a>, <a href="#">IVX</a> <a href="#">SVARs</a>, <a href="#">identification</a>, <a href="#">weak instruments</a>, <a href="#" "
"docPreview" => "<b>Robust Inference in Structural Vector Autoregressions with Long-Run Restrictions</b><br><span>2020-02 | Articles </span> <b>Robust Inference in Structural Vector Autoregressions with Long-Run Restrictions</b><br><span>202 "
"docType" => "research"
"publicationLink" => "<a href="http://dx.doi.org/10.2139/ssrn.2912251" target="_blank">Robust Inference in Structural Vector Autoregressions with Long-Run Restrictions</a> <a href="http://dx.doi.org/10.2139/ssrn.2912251" target="_blank">Robust Inference in Structural Vect "
]
+lang: "fr"
+"_type": "_doc"
+"_score": 9.045623
+"parent": null
}
