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residuals of the policy rule equation at these shock dates accordingly. In spite of its utmost agnostic nature, this approach …
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residuals of the policy rule equation at these shock dates accordingly. In spite of its utmost agnostic nature, this approach …
Persistent link: https://www.econbiz.de/10012292801
We show that the contemporaneous and longer horizon impulse responses estimated using small-scale Proxy structural vector autoregressions (SVARs) can be severely biased in the presence of information insufficiency. Instead, we recommend the use of a Proxy Factor Augmented VAR (FAVAR) model that...
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