4 papers · 1 filter
Identification, estimation and inference in Panel Vector Autoregressions using external instruments
Raimondo Pala
This paper proposes an identification inspired from the SVAR-IV literature that uses external instruments to identify PVARs, and discusses associated issues of identification, esti…
Control VAR: a counterfactual based approach to inference in macroeconomics
Raimondo Pala
A recursive VAR is read as causal whenever the policy is ordered first. I show that this ordering is not sufficient when the policy reacts to the economy it is meant to affect: the…
The causal interpretation of panel vector autoregressions
Raimondo Pala
This paper discusses the different contemporaneous causal interpretations of Panel Vector Autoregressions (PVAR). I show that the interpretation of PVARs depends on the distributio…
Dynamic Local Average Treatment Effects in Time Series
Alessandro Casini, Adam McCloskey, Luca Rolla +1
This paper discusses identification, estimation, and inference on dynamic local average treatment effects (LATEs) in instrumental variables (IVs) settings. First, we show that comp…