Local projections vs. VARs: lessons from thousands of DGPs

DOI10.1016/j.jeconom.2024.105722MaRDI QIDQ6664644

Mikkel Plagborg-Møller, Christian Wolf, Dake Li

Publication date: 16 January 2025

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

zbMATH Keywords

impulse response functionstructural vector autoregressionproxy variablelocal projectionexternal instrument

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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• VAR forecasting under misspecification
• A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
• Comparison of local projection estimators for proxy vector autoregressions
• The uniform validity of impulse response inference in autoregressions
• Estimating impulse response functions when the shock series is observed
• Large-dimensional dynamic factor models: estimation of impulse-response functions with I(1) cointegrated factors
• Fiscal Foresight and Information Flows
• BIASES OF ESTIMATORS IN MULTIVARIATE NON-GAUSSIAN AUTOREGRESSIONS
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Local Projection Inference Is Simpler and More Robust Than You Think
• Structural Vector Autoregressive Analysis
• Finite-Sample Properties of the k-Class Estimators
• Local Projections and VARs Estimate the Same Impulse Responses
• HAR Inference: Recommendations for Practice

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