Local Projections and VARs Estimate the Same Impulse Responses
From MaRDI portal
Publication:5860034
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
impulse response functionstructural vector autoregressionproxy variablelocal projectionexternal instrument
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric robustness (62G35)
Related Items
How do fiscal adjustments work? An empirical investigation, Monetary policy announcements, information shocks, and exchange rate dynamics, Monetary policy, external instruments, and heteroskedasticity, Monetary policy transmission to firms' investments -- it may depend on the tool, Refining set-identification in VARs through independence, Bias in local projections, Pandemics and trade in the 21st century: evidence from five pre-COVID pandemics, Estimation, Inference, and Empirical Analysis for Time-Varying VAR Models, Local Whittle estimation of high-dimensional long-run variance and precision matrices, Local projections, autocorrelation, and efficiency, Identification of SVAR Models by Combining Sign Restrictions With External Instruments, Impulse response analysis for structural dynamic models with nonlinear regressors, Qualitative versus quantitative external information for proxy vector autoregressive analysis, Macroeconomic shocks and Okun's law, Comparison of local projection estimators for proxy vector autoregressions