The Impact of Uncertainty Shocks under Measurement Error: A Proxy SVAR Approach
研究了代理变量中的测量误差如何导致SVAR模型估计的脉冲响应出现衰减偏差，并发现使用代理SVAR方法可避免此偏差，应用于Bloom（2009）数据得到更大且更持久的冲击响应。
A growing literature considers the impact of uncertainty using SVAR models that include proxies for uncertainty shocks as endogenous variables. In this paper, we consider the impact of measurement error in these proxies on the estimated impulse responses. We show via a Monte Carlo experiment that measurement error can result in attenuation bias in impulse responses. In contrast, the proxy SVAR that uses the uncertainty shock proxy as an instrument does not suffer from this bias. Applying this latter method to the Bloom (2009) data set results in impulse responses to uncertainty shocks that are larger in magnitude and more persistent than those obtained from a recursive SVAR.