Bias in local projections

DOI10.1016/j.jeconom.2024.105655OpenAlexW4391948563MaRDI QIDQ6118714

Benjamin K. Johannsen, Edward Herbst

Publication date: 21 March 2024

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2024.105655

zbMATH Keywords

local projectionssmall-sample biassingle equation estimation

Mathematics Subject Classification ID

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

Cites Work

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• NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION
• Local Projections and VARs Estimate the Same Impulse Responses

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