Comparing external and internal instruments for vector autoregressions
比较了在代理变量VAR分析中，使用外部工具和内部工具识别冲击的两种方法，发现两者通常得出不同结果，并给出了两者脉冲响应相同的条件。
In conventional proxy VAR analysis, the shocks of interest are identified by external instruments. This is typically accomplished by considering the covariance of the instruments and the reduced-form residuals. Alternatively, the instruments may be internalized by augmenting the VAR process by the instruments or proxies. These alternative identification methods are compared and it is shown that the resulting shocks obtained with the alternative approaches differ in general. Conditions are provided under which their impulse responses are nevertheless identical. If the conditions are satisfied, identification of the shocks is ensured. An empirical example illustrates the theoretical results.