Inference for local projections

Atsushi Inoue, Òscar Jordà and Guido M Kuersteiner

The Econometrics Journal, 2026, vol. 29, issue 1, 2-26

Abstract: SummaryInference for impulse responses estimated with local projections presents interesting challenges and opportunities. Analysts typically want to assess the precision of individual estimates, explore the dynamic evolution of the response over particular regions, and generally determine whether the impulse generates a response that is any different from the null of no effect. Each of these goals requires a different approach to inference. In this article, we provide an overview of results that have appeared in the literature in the past twenty years along with some new procedures that we introduce here.

Keywords: Local projections; impulse response; instrumental variables; confidence bands; simultaneous bands; significance bands; wild block bootstrap (search for similar items in EconPapers)
Date: 2026
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Persistent link: https://EconPapers.repec.org/RePEc:oup:emjrnl:v:29:y:2026:i:1:p:2-26.

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