A major challenge for proxy vector autoregressive analysis is the construction of a suitable external instrument variable or proxy for identifying a shock of interest. Some authors construct sophisticated proxies that account for the dating and size of the shock while other authors consider simpler versions that use only the dating and signs of particular shocks. It is shown that such qualitative (sign-)proxies can lead to impulse response estimates of the impact effects of the shock of interest that are nearly as efficient as or even more efficient than estimators based on more sophisticated quantitative proxies that also reflect the size of the shock. Moreover, the sign-proxies tend to provide more precise impulse response estimates than an approach based merely on the higher volatility of the shocks of interest on event dates.

代理向量自回归分析的主要挑战是构造合适的外部仪器变量或代理以识别感兴趣的震荡。一些作者构建了复杂的代理来解释电击的日期和大小，而另一些作者则考虑了仅使用特定电击的日期和标志的简单版本。结果表明，这种定性（符号）代理可以导致对感兴趣的冲击的冲击效果的冲激响应估计，其效率与基于更复杂的定量代理的估计器的效率几乎相同，甚至比估计器的效率更高，这些估计代理也反映了估计的规模。震惊。而且，与仅基于事件日期上的意向冲击的较高波动性的方法相比，符号代理倾向于提供更精确的冲激响应估计。