Mikkel Plagborg-Møller, Christian K. Wolf
arXiv 2 Nov 2020 · Econometrics · publishedJournal of Political Economy (2022) · 66 citations (OpenAlex)
arXiv:2011.01380 · PDF · DOI · OpenAlex · Extracted main text
Macroeconomists increasingly use external sources of exogenous variation for causal inference. However, unless such external instruments (proxies) capture the underlying shock without measurement error, existing methods are silent on the importance of that shock for macroeconomic fluctuations. We show that, in a general moving average model with external instruments, variance decompositions for the instrumented shock are interval-identified, with informative bounds. Various additional restrictions guarantee point identification of both variance and historical decompositions. Unlike SVAR analysis, our methods do not require invertibility. Applied to U.S. data, they give a tight upper bound on the importance of monetary shocks for inflation dynamics.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Stock, J. H. & Watson, M. W (2018) Identification and Estimation of Dynamic Causal Effects in Macroeconomics Using External Instruments | 1.000 | 11 | 5 | 100% |
| 2 | Leeper, E. M., Walker, T. B., & Yang, S.-C. S (2013) Fiscal Foresight and Information Flows | 1.000 | 6 | 3 | 100% |
| 3 | Ramey, V. A (2016) Macroeconomic Shocks and Their Propagation | 1.000 | 5 | 3 | 100% |
| 4 | Gorodnichenko, Y. & Lee, B (2020) Forecast Error Variance Decompositions with Local Projections | 0.928 | 4 | 3 | 100% |
| 5 | Gertler, M. & Karadi, P (2015) Monetary Policy Surprises, Credit Costs, and Economic Activity | 0.874 | 8 | 2 | 100% |
| 6 | Mertens, K. & Ravn, M. O (2013) The Dynamic Effects of Personal and Corporate Income Tax Changes in the United States | 0.843 | 3 | 3 | 100% |
| 7 | Brockwell, P. J. & Davis, R. A (1991) Time Series: Theory and Methods\/ (2nd ed.) | 0.737 | 3 | 2 | 100% |
| 8 | Forni, M., Gambetti, L., & Sala, L (2019) Structural VARs and noninvertible macroeconomic models | 0.737 | 3 | 2 | 100% |
| 9 | Imbens, G. W. & Manski, C. F (2004) Confidence Intervals for Partially Identified Parameters | 0.737 | 3 | 2 | 100% |
| 10 | Kilian, L. & Lütkepohl, H (2017) Structural Vector Autoregressive Analysis | 0.644 | 4 | 1 | 100% |
Showing the top 10 of 51 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Structural Analysis of Vector Autoregressive Models | 0.644 | 2 | 2 |
| 2 | Causality versus Serial Correlation: an Asymmetric Portmanteau Test | 0.644 | 2 | 2 |
| 3 | Inference for Local Projections | 0.405 | 1 | 1 |
| 4 | 2409.09577 | 0.405 | 1 | 1 |
| 5 | Locally- but not Globally-identified SVARs | 0.405 | 1 | 1 |