Comparison of local projection estimators for proxy vector autoregressions

DOI10.1016/J.JEDC.2021.104277OpenAlexW3211599373MaRDI QIDQ2115944FDOQ2115944

Helmut Lütkepohl, Martin Bruns

Publication date: 15 March 2022

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/234456

Recommendations

• Local projections and VARs estimate the same impulse responses
• Local projection inference is simpler and more robust than you think
• Qualitative versus quantitative external information for proxy vector autoregressive analysis
• Projection estimators for autoregressive panel data models
• Improved GMM estimation of panel VAR models

zbMATH Keywords

impulse responsesinstrumental variablestructural vector autoregressionlocal projection

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Structural Vector Autoregressive Analysis
• Statistical inference in vector autoregressions with possibly integrated processes
• Making wald tests work for cointegrated VAR systems
• Short run and long run causality in time series: inference
• Estimating impulse response functions when the shock series is observed
• Local Projections and VARs Estimate the Same Impulse Responses
• Local Projection Inference Is Simpler and More Robust Than You Think

Cited In (3)

• Projection estimators for autoregressive panel data models
• Local projections, autocorrelation, and efficiency
• Local projections vs. VARs: lessons from thousands of DGPs

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