InternalInstrument
InternalInstrument
InternalInstrument
Identify IRFs using internal instruments.
This class identifies impulse responses in (S)VARs using the internal instruments method proposed by Plagborg-Moller and Wolf (2021).
Notes
- IRFs are computed from Cholesky-orthogonalized shocks with respect to the selected
instrument
. - Shocks are normalized by the response of the
normalisingVariable
atnormalisingHorizon
. - The
instrument
can be specified as an integer (index) or character (variable name). - Defaults:
instrument = 1
(first variable)normalisingHorizon = 0
Reference
- Plagborg-Moller, M., & Wolf, C. K. (2021). “Local Projections and VARs Estimate the Same Impulse Responses.” Econometrica, 89(2), 955-980. [https://doi.org/10.3982/ecta17813]
See also IdentificationMethod
, Recursive