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)

zbMATH Keywords

impulse responsesefficiencyrobustnessVAR modelslocal projectionsGLS estimation

Mathematics Subject Classification ID

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

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