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Tesi etd-02072024-113327


Tipo di tesi
Tesi di laurea magistrale
Autore
DI LILLO, VINCENZO
URN
etd-02072024-113327
Titolo
Empirical Macroeconomic Analysis with Instrumental Variables: Inference with Local Projections and SVAR
Dipartimento
ECONOMIA E MANAGEMENT
Corso di studi
ECONOMICS
Relatori
relatore Prof.ssa Parenti, Angela
Parole chiave
  • instrumental variables
  • local projections
  • VAR
Data inizio appello
26/02/2024
Consultabilità
Non consultabile
Data di rilascio
26/02/2094
Riassunto
The identification of the dynamic causal effect of a structural shock is a central topic in empirical macroeconomics. In the past decade, the use of external instruments to estimate impulse responses has gained increasing popularity. Quasi-experimental variables, correlated with the macroeconomic shock of interest but uncorrelated with other structural shocks, are often employed as instruments to isolate the impact of the unobserved macroeconomic shock. The dynamic causal effect can be estimated through an external instrument, either using Structural Vector Autoregressions (SVAR-IV) to identify the impact matrix or, without any auxiliary VAR step, employing Local Projections Instrumental Variables (LP-IV).
While the properties of SVAR-IV inference have been extensively investigated, the LP-IV literature lacks a deep analysis of the estimator performance. The aim of this work is thus to conduct a Monte Carlo study to assess and compare the properties of Local Projections IV and Structural Vector Autoregressions IV in estimating impulse response functions in finite samples.

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