Local projections, autocorrelation, and efficiency

DOI10.3982/qe1988OpenAlexW4388535770MaRDI QIDQ6185467

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Publication date: 8 January 2024

Published in: Quantitative Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/qe1988

zbMATH Keywords

autocorrelationGLSimpulse responseslocal projections

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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• Inference in VARs with conditional heteroskedasticity of unknown form
• Prediction of multivariate time series by autoregressive model fitting
• Comparison of local projection estimators for proxy vector autoregressions
• News, Non-Invertibility, and Structural VARs
• Bayesian Analysis of DSGE Models
• Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
• Local Projections and VARs Estimate the Same Impulse Responses
• Local projections, autocorrelation, and efficiency

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