4 papers
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
This paper addresses the challenges of giving a causal interpretation to vector autoregressions (VARs). I show that under independence assumptions VARs can identify average treatme…
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…