Comparison of local projection estimators for proxy vector autoregressions

DOI10.1016/J.JEDC.2021.104277MaRDI QIDQ2115944zbMATH OpenOpenAlexFDO

Authors Martin Bruns, Helmut Lütkepohl

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

zbMATH Keywords

impulse responsesinstrumental variablestructural vector autoregressionlocal projection

Mathematics Subject Classification ID

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

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

Cites work

• scientific article; zbMATH DE number 2199188 (Why is no real title available?)
• Estimating impulse response functions when the shock series is observed
• Local projection inference is simpler and more robust than you think
• Local projections and VARs estimate the same impulse responses
• Making wald tests work for cointegrated VAR systems
• Short run and long run causality in time series: inference
• Statistical inference in vector autoregressions with possibly integrated processes
• Structural vector autoregressive analysis

Cited in

(6)

• Local projections, autocorrelation, and efficiency
• Projection estimators for autoregressive panel data models
• Qualitative versus quantitative external information for proxy vector autoregressive analysis
• Local projections and VARs estimate the same impulse responses
• Local projection inference is simpler and more robust than you think
• Local projections vs. VARs: lessons from thousands of DGPs

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