uncertainty shocks as endogenous variables. In this paper we consider the possible impact of measurement error in the uncertainty … shock proxies on the estimated impulse responses from these SVAR models. We show via a Monte Carlo experiment that … measurement error can result in attenuation bias in the SVAR impulse responses. In contrast, the proxy SVAR that uses the …

-robust approach is proposed to construct estimation and inference. Thirdly, this paper suggests a procedure to derive theory …, and there is always the risk of retaining structural parameters with implausible implications. This paper imposes bounds … the FEVD tend to remove unreasonable implications, increase estimation precision, sharpen and also alter the inference of …