GLS estimation of local projections: trading robustness for efficiency

DOI10.1016/J.JECONOM.2026.106182MaRDI QIDQ6856864zbMATH OpenFDO

Authors Ignace De Vos, Gerdie Everaert

Publication date 18 February 2026

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.JECONOM.2026.106182

zbMATH Keywords

efficiencyGLS estimationimpulse responseslocal projectionsrobustnessVAR models

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• Comparison of local projection estimators for proxy vector autoregressions
• Estimation and Inference for Linear Panel Data Models Under Misspecification When BothnandTare Large
• HAR Inference: Recommendations for Practice
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• Local projections and VARs estimate the same impulse responses
• Local projections vs. VARs: lessons from thousands of DGPs
• Local projections, autocorrelation, and efficiency
• Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions
• Structural vector autoregressive analysis
• VAR forecasting under misspecification

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