{
  "abstract": "Two frequent approaches for identifying structural VARs are external instruments, which carry economic content but are often weak, and non-Gaussianity of the shocks, which provides statistical identification but carries no economic meaning. We combine the two strategies in a single generalized method of moments framework. This hybrid approach point-identifies the target shocks while also identifying the non-target shocks up to sign and ordering. Under suitable rank conditions, the higher-order moments of the structural shocks anchor the identification uniformly over the instrument strength. Consequently, under local-to-zero proxy relevance, estimators of the dynamic causal effects remain consistent, and standard asymptotic inference remains valid. Moreover, the Anderson-Rubin confidence sets are substantially narrower than their instrument-only counterparts. The hybrid estimator is also more efficient than either source of identification used in isolation: at any fixed proxy relevance, even a weak instrument increases the efficiency of the estimator through its covariance with the non-Gaussian moment block. Under local deviations from proxy exogeneity, we provide asymptotic bias bounds and show that stronger non-Gaussianity of the shocks compresses the bias. Finally, the over-identified structure yields two mutually orthogonal specification tests for proxy exogeneity and the validity of the higher-order moment conditions. We derive their limiting distributions and provide a bootstrap procedure for finite-sample critical values. Monte Carlo simulations and two applications with identification of oil news-shock and a Euro-area MP shock demonstrate the potential of our framework.",
  "abstract_shown": true,
  "affiliations": [],
  "article_type": null,
  "arxiv": "2609.14398",
  "author_total": 1,
  "authors": [
    {
      "name": "Paritosh Shankarrao Junare"
    }
  ],
  "bibtex": "https://research.draconitic.com/paper/e16r2kbtvs629.bib",
  "cited_by": 0,
  "doi": "10.48550/arxiv.2609.14398",
  "fulltext_url": null,
  "id": "e16r2kbtvs629",
  "issns": [],
  "landing_url": "https://arxiv.org/abs/2609.14398",
  "language": null,
  "licence": "CC-BY-NC-ND-4.0",
  "licence_label": "CC BY-NC-ND 4.0",
  "licence_source": "article",
  "licence_url": "http://creativecommons.org/licenses/by-nc-nd/4.0/",
  "metadata_licence": "CC0-1.0",
  "native_subjects": [
    [
      "arxiv",
      "econ.EM"
    ],
    [
      "arxiv",
      "stat.ME"
    ],
    [
      "openalex",
      "2000|Monetary Policy and Economic Impact"
    ]
  ],
  "openalex": "W7213245980",
  "pdf_url": "https://arxiv.org/pdf/2609.14398",
  "pmcid": null,
  "pmid": null,
  "published": "2026-10-13",
  "publisher": null,
  "ris": "https://research.draconitic.com/paper/e16r2kbtvs629.ris",
  "sources": [
    {
      "first_seen": "2026-10-30T12:29:26Z",
      "native_id": "2609.14398",
      "source": "arxiv",
      "url": "https://arxiv.org/abs/2609.14398"
    }
  ],
  "subjects": [
    {
      "field": "mathematics",
      "origin": "arxiv:stat.ME",
      "subfield": "statistics"
    }
  ],
  "title": "Identification and Inference in proxy-SVARs with non-Gaussian shocks",
  "title_text": "Identification and Inference in proxy-SVARs with non-Gaussian shocks",
  "type": "preprint",
  "updated_at": "2026-10-30T12:29:26Z",
  "url": "https://research.draconitic.com/paper/e16r2kbtvs629",
  "venue": "arXiv",
  "versions": []
}