Paritosh Shankarrao Junare

arXiv2026

Identification and Inference in proxy-SVARs with non-Gaussian shocks

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 that stacks proxy exclusion restrictions with higher-order moment conditions of the structural shocks. 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 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 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 validity of 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.

econ.EM↗

arXiv2026

Two Gaussians, Too Many: A bootstrap-based approach to assess identifiability in non-Gaussian structural Vector Autoregressions

Standard pre-tests of normality on reduced-form innovations are insufficient to detect two or more Gaussian shocks and hence, the failure of identification in non-Gaussian SVARs. We instead propose a bootstrap-based approach to evaluate the asymptotic validity of this condition by measuring the divergence between the conditional bootstrap distribution of a maximum likelihood estimator and its limiting distribution under valid identification. We show that, under valid identification and certain regularity conditions, the conditional bootstrap distribution of the impact matrix is asymptotically normal, so the diagnostic reduces to a test of normality of the bootstrap replications. The diagnostic remains valid in the single-Gaussian case, where the shape parameter of the Gaussian shock lies on the boundary, and the full-parameter information is singular; this establishes its validity across the entire null. Under the null of valid identification, the diagnostic induces no pre-testing bias as bootstrap replications and sample size diverge jointly at an appropriate rate. The joint divergence ensures that the test statistic, conditional on the data, is asymptotically pivotal, so conditioning on the diagnostic does not distort subsequent inference. Monte Carlo simulations with Normal-Inverse Gaussian shocks show that the diagnostic attains near-exact nominal size under valid identification and detects the failure due to multiple Gaussian shocks with power increasing in the sample size. Under weak identification with a near-Gaussian shock, conditioning on the bootstrap diagnostic, unlike on residual-based normality pre-tests, preserves the probability coverage of the estimates. Based on estimates of a SVAR model in the macroeconomic and financial uncertainty literature, we demonstrate its potential as a practical, robust tool for validating non-Gaussian identification without pre-testing bias.

econ.EM↗