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Unfortunately, standard inference methods that exploit such features of the data for identification fail to yield correct coverage for structural functions of the model parameters when deviations from Gaussianity are small. To this extent, we propose a locally robust semiparametric approach to conduct hypothesis tests and construct confidence sets for structural functions in SVAR models. The methodology fully exploits non\u2010Gaussianity when it is present, but yields correct size\/coverage for local\u2010to\u2010Gaussian densities. Empirically, we revisit two macroeconomic SVAR studies where we document mixed results. For the oil price model of Kilian and Murphy (2012), we find that non\u2010Gaussianity can robustly identify reasonable confidence sets, whereas for the labor supply\u2013demand model of Baumeister and Hamilton (2015) this is not the case. Moreover, these exercises highlight the importance of using weak identification robust methods to assess estimation uncertainty when using non\u2010Gaussianity for identification.<\/jats:p>","DOI":"10.3982\/qe2274","type":"journal-article","created":{"date-parts":[[2024,4,25]],"date-time":"2024-04-25T08:22:43Z","timestamp":1714033363000},"page":"523-570","source":"Crossref","is-referenced-by-count":8,"title":["Locally robust inference for non\u2010Gaussian SVAR models"],"prefix":"10.3982","volume":"15","author":[{"given":"Lukas","family":"Hoesch","sequence":"first","affiliation":[{"name":"Department of Econometrics and Data Science, Vrije Universiteit Amsterdam"},{"name":"Tinbergen Institute"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Adam","family":"Lee","sequence":"additional","affiliation":[{"name":"Department of Data Science and Analytics, BI Norwegian Business School"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Geert","family":"Mesters","sequence":"additional","affiliation":[{"name":"Department of Economics and Business, Universitat Pompeu Fabra"},{"name":"Barcelona School of Economics"},{"name":"CREI"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"2359","published-online":{"date-parts":[[2024]]},"reference":[{"key":"quan200322-bib-0001","doi-asserted-by":"crossref","unstructured":"Amari, Shun-Ichi and Jean-Francois Cardoso (1997), \u201cBlind source separation\u2014semiparametric statistical approach.\u201d IEEE Transactions On Signal Processing, 45 (11).","DOI":"10.1109\/78.650095"},{"key":"quan200322-bib-0002","doi-asserted-by":"crossref","unstructured":"Andrews, Isaiah and Anna Mikusheva (2015), \u201cMaximum likelihood inference in weakly identified dynamic stochastic general equilibrium models.\u201d Quantitative Economics, 6.","DOI":"10.3982\/QE331"},{"key":"quan200322-bib-0003","doi-asserted-by":"crossref","first-page":"727","DOI":"10.1146\/annurev-economics-080218-025643","volume":"11","author":"Andrews","year":"2019","journal-title":"Annual Review of Economics"},{"issue":"5","key":"quan200322-bib-0004","doi-asserted-by":"crossref","first-page":"1963","DOI":"10.3982\/ECTA12356","volume":"83","author":"Baumeister","year":"2015","journal-title":"Econometrica"},{"issue":"5","key":"quan200322-bib-0005","doi-asserted-by":"crossref","first-page":"1873","DOI":"10.1257\/aer.20151569","volume":"109","author":"Baumeister","year":"2019","journal-title":"American Economic Review"},{"key":"quan200322-bib-0006","doi-asserted-by":"crossref","unstructured":"Bekaert, Geert, Eric Engstrom, and Andrey Ermolov (2020), \u201cAggregate demand and aggregate supply effects of Covid-19: A real-time analysis.\u201d FEDS Working Paper No. 2020-49, Available at SSRN: https:\/\/ssrn.com\/abstract=3633961.","DOI":"10.17016\/feds.2020.049"},{"issue":"2","key":"quan200322-bib-0007","doi-asserted-by":"crossref","first-page":"479","DOI":"10.1016\/j.jfineco.2021.03.011","volume":"141","author":"Bekaert","year":"2021","journal-title":"Journal of Financial Economics"},{"key":"quan200322-bib-0008","volume-title":"Efficient and Adaptive Estimation for Semiparametric Models","author":"Bickel","year":"1998"},{"issue":"2","key":"quan200322-bib-0009","doi-asserted-by":"crossref","first-page":"721","DOI":"10.1214\/009053606000000137","volume":"34","author":"Bickel","year":"2006","journal-title":"Ann. 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