Identification and Inference in proxy-SVARs with non-Gaussian shocks
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.
Related
- Testing strong exogeneity in proxy SVARs with internal synthetic proxies
- Functional Estimation under Proxy-Based Full-Law Identification
- Proximal causal inference through cross-proxy balancing
- Scalable Sparse Autoregressive Variational Inference for Non-Gaussian Spatial Fields
- Local increment inference for time-inhomogeneous drift in Gaussian processes
BibTeX
@misc{junare2026identification,
title = {{Identification and Inference in proxy-SVARs with non-Gaussian shocks}},
author = {Paritosh Shankarrao Junare},
howpublished = {arXiv},
year = {2026},
month = oct,
doi = {10.48550/arxiv.2609.14398},
eprint = {2609.14398},
archivePrefix = {arXiv},
url = {https://arxiv.org/abs/2609.14398},
note = {CC BY-NC-ND 4.0},
}
RIS
TY - UNPB
TI - Identification and Inference in proxy-SVARs with non-Gaussian shocks
AU - Paritosh Shankarrao Junare
PY - 2026
DA - 2026/10/13
PB - arXiv
DO - 10.48550/arxiv.2609.14398
UR - https://arxiv.org/abs/2609.14398
AB - 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.
ER -