Lecture 6 : Vector Autoregression ∗
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Identification and Estimation of Dynamic Causal Effects in Macroeconomics
An exciting development in empirical macroeconometrics is the increasing use of external sources of as-if randomness to identify the dynamic causal effects of macroeconomic shocks. This approach – the use of external instruments – is the time series counterpart of the highly successful strategy in microeconometrics of using external as-if randomness to provide instruments that identify causal e...
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