Identification and Estimation of Dynamic Causal Effects in Macroeconomics Using External Instruments
展示了如何使用外部工具变量（即外生随机性来源）来识别宏观经济冲击的动态因果效应，比较了一步法（局部投影-工具变量回归）和两步法（向量自回归）的适用条件与效率差异。
External sources of as‐if randomness — that is, external instruments — can be used to identify the dynamic causal effects of macroeconomic shocks. One method is a one‐step instrumental variables regression (local projections – IV); a more efficient two‐step method involves a vector autoregression. We show that, under a restrictive instrument validity condition, the one‐step method is valid even if the vector autoregression is not invertible, so comparing the two estimates provides a test of invertibility. If, however, lagged endogenous variables are needed as control variables in the one‐step method, then the conditions for validity of the two methods are the same.