Local Projections and VARs Estimate the Same Impulse Responses

DOI10.3982/ECTA17813zbMath1478.62268OpenAlexW3136038698MaRDI QIDQ5860034

Christian Wolf, Mikkel Plagborg-Møller

Publication date: 18 November 2021

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/ecta17813

zbMATH Keywords

impulse response functionstructural vector autoregressionproxy variablelocal projectionexternal instrument

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric robustness (62G35)

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