Correction to “Exogenous uncertainty and the identification of structural vector autoregressions with external instruments”
Year: 2023
Type: erratum
Abstract: Correction to "Exogenous uncertainty and the identification of structural vector autoregressions with external instruments"This correction fixes the following errors in the paper: (i) the necessary identification order condition in Proposition 1.b; (ii) one statement about the asymptotic distribution of the quantity T 1∕2 ( ζT - 0 ), where ζT is the estimator of a nonlinear transformation of the reduced form parameters that plays a crucial role in the Classical Minimum Distance (CMD) estimation of the proxy-SVAR developed in the paper; (iii) the estimates of the parameters in the matrix G1 reported in the left column of Table 1, panel B.We apologize for these errors.We remark, however, that these errors does not change approach, overall picture and main conclusions (methodological and empirical) of the paper relative to the published version.(i) Necessary order condition for identification, Proposition 1.bThe correct statement of Proposition 1.b is the following (note that Proposition 1.a on the necessary and sufficient rank condition [see Equation 24 in the paper] remains valid)
Source: Journal of Applied Econometrics
DOI: 10.1002/jae.2994
Language: English
Domain: Social Sciences
Open Access status: bronze
OpenAlex ID: W4380876898