Preprint
Oct 2026
Inference in Panel SVARs with Two-Way Dependence
We develop inference for heterogeneous panel vector autoregressive (VAR) models and their structural impulse response functions, where the error terms are dependent in the cross-sectional and time dimensions (two-way dependence). For proxy-identified structural VARs, we first adapt mean-group estimation and construct a...
Lennart Empting, Saskia Öztürk, Simone Maxand et al.
· 0 citations