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Proxy SVARs: Asymptotic theory, bootstrap inference, and the effects of income tax changes in the United States
Jentsch, Carsten; Lunsford, Kurt G. - 2016
Proxy structural vector autoregressions (SVARs)identify structural shocks in vector autoregressions (VARs) with external proxy variables that are correlated with the structural shocks of interest but uncorrelated with other structural shocks. We provide asymptotic theory for proxy SVARs when the...
Persistent link: https://www.econbiz.de/10011588689
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Proxy SVARs : asymptotic theory, bootstrap inference, and the effects of income tax changes in the United States
Jentsch, Carsten; Lunsford, Kurt G. - 2016
Persistent link: https://www.econbiz.de/10011549676
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Asymptotically Valid Bootstrap Inference for Proxy SVARs
Jentsch, Carsten - 2019
Proxy structural vector autoregressions identify structural shocks in vector autoregressions with external variables that are correlated with the structural shocks of interest but uncorrelated with all other structural shocks. We provide asymptotic theory for this identification approach under...
Persistent link: https://www.econbiz.de/10012869707
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Proxy SVARs : asymptotic theory, bootstrap inference, and the effects of income tax changes in the United States
Jentsch, Carsten; Lunsford, Kurt G. - 2016
Proxy structural vector autoregressions (SVARs)identify structural shocks in vector autoregressions (VARs) with external proxy variables that are correlated with the structural shocks of interest but uncorrelated with other structural shocks. We provide asymptotic theory for proxy SVARs when the...
Persistent link: https://www.econbiz.de/10011570152
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The dynamic effects of personal and corporate income tax changes in the United States : comment
Jentsch, Carsten; Lunsford, Kurt G. - In: The American economic review 109 (2019) 7, pp. 2655-2678
Persistent link: https://www.econbiz.de/10012102474
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The dynamic effects of personal and corporate income tax changes in the United States : reply
Mertens, Karel; Ravn, Morten O. - In: The American economic review 109 (2019) 7, pp. 2679-2691
Persistent link: https://www.econbiz.de/10012102475
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Asymptotically valid bootstrap inference for proxy SVARs
Jentsch, Carsten; Lunsford, Kurt G. - 2019
Persistent link: https://www.econbiz.de/10012003975
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The dynamic effects of personal and corporate income tax changes in the United States : reply to Jentsch and Lunsford
Mertens, Karel; Ravn, Morten O. - 2018
Persistent link: https://www.econbiz.de/10012029960
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Asymptotically valid bootstrap inference for proxy SVARs
Jentsch, Carsten; Lunsford, Kurt G. - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 4, pp. 1876-1891
Persistent link: https://www.econbiz.de/10013540527
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Identifying structural VARs with a proxy variable and a test for a weak proxy
Lunsford, Kurt G. - 2015
Persistent link: https://www.econbiz.de/10011543220