ExternalInstrument

ExternalInstrument Identify IRFs using external instruments.

This class identifies structural IRFs from (S)VARs using the external instrument approach proposed by Stock and Watson (2018).

Notes

  • IRFs are computed relative to the reaction of the treatment variable at normalisingHorizon.
  • instruments must be a matrix or table spanning the same period as the model data.
  • Defaults:
  • normalisingHorizon = 0

Reference

  • Stock, J. H., & Watson, M. W. (2018). “Identification and Estimation of Dynamic Causal Effects in Macroeconomics Using External Instruments.” The Economic Journal, 128(610), 917-948. [https://doi.org/10.1111/ecoj.12593]

See also IdentificationMethod, Recursive, InternalInstrument