Comparison of local projection estimators for proxy vector autoregressions

DOI10.1016/j.jedc.2021.104277OpenAlexW3211599373MaRDI QIDQ2115944

Martin Bruns, Helmut Lütkepohl

Publication date: 15 March 2022

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

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

zbMATH Keywords

instrumental variablestructural vector autoregressionimpulse responseslocal projection

Mathematics Subject Classification ID

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

Related Items (1)

Local projections, autocorrelation, and efficiency

Cites Work

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• Short run and long run causality in time series: inference
• Statistical inference in vector autoregressions with possibly integrated processes
• Estimating impulse response functions when the shock series is observed
• Making wald tests work for cointegrated VAR systems
• Local Projection Inference Is Simpler and More Robust Than You Think
• Structural Vector Autoregressive Analysis
• Local Projections and VARs Estimate the Same Impulse Responses

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