Bruns, Martin; Lütkepohl, Helmut; McNeil, James - 2024 - This version: July 12, 2024
The shocks in structural vector autoregressive (VAR) analysis are typically assumed to be instantaneously uncorrelated. This condition may easily be violated in proxy VAR models if more than one shock is identified by a proxy variable. Correlated shocks may be obtained even if the proxies are...