Local Projections and VARs Estimate the Same Impulse Responses

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

zbMATH Keywords

impulse response functionstructural vector autoregressionproxy variablelocal projectionexternal instrument

Mathematics Subject Classification ID

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