martinbaumgaertner/varexternal: Vector autoregression with external instruments

This Package estimates a Vector Autoregressive Model with an External Instrument in R. It is based on “Inference in Structural Vector Autoregressions Identified With and External Instrument”, Montiel Olea, Jose L; Stock, James H.; and Watson, Mark W; Working Paper Columbia University. The corresponding Matlab code and sample data can be found here: https://github.com/jm4474/SVARIV For now two different Confidence Intervals (CI) for Impulse responses are included: Delta Method, Anderson-Rubin confidence set The confidence interval is robust to the construction of weak-instrument. Note that for strong instrument estimation the CI convergence to standard CI intervals. In addition the authors propose an modified Wald test as a test for weak instruments concerns which is also included in the package. Bootstrap procedures are currently not included.

install.packages("remotes")
remotes::install_github("martinbaumgaertner/varexternal")