Comparison of local projection estimators for proxy vector autoregressions

Martin Bruns and Helmut Lütkepohl

Journal of Economic Dynamics and Control, 2022, vol. 134, issue C

Abstract: Different local projection (LP) estimators for structural impulse responses of proxy vector autoregressions are reviewed and compared algebraically and with respect to their small sample suitability for inference. Conditions for numerical equivalence and similarities of some estimators are provided. Two generalized least squares (GLS) projection estimators are found to be more accurate than the other LP estimators in small samples. In particular, a lag-augmented GLS estimator tends to be superior to its competitors and to perform as well as a standard VAR estimator for sufficiently large samples.

Keywords: Structural vector autoregression; Local projection; Impulse responses; Instrumental variable (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (11)

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Related works:
Working Paper: Comparison of Local Projection Estimators for Proxy Vector Autoregressions (2021)
Working Paper: Comparison of Local Projection Estimators for Proxy Vector Autoregressions (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:dyncon:v:134:y:2022:i:c:s0165188921002128

DOI: 10.1016/j.jedc.2021.104277

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