Local Projections and VARs Estimate the Same Impulse Responses
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- Mikkel Plagborg‐Møller & Christian K. Wolf, 2021. "Local Projections and VARs Estimate the Same Impulse Responses," Econometrica, Econometric Society, vol. 89(2), pages 955-980, March.
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More about this item
Keywords
external instrument; impulse response function; local projection; proxy variable; structural vector autoregression;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C36 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Instrumental Variables (IV) Estimation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2022-03-21 (Banking)
- NEP-ECM-2022-03-21 (Econometrics)
- NEP-ETS-2022-03-21 (Econometric Time Series)
- NEP-ORE-2022-03-21 (Operations Research)
Statistics
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