ExternalInstrument
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 atnormalisingHorizon
. 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