Author

Saskia Öztürk

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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