Inference for Local Projections

Atsushi Inoue, \`Oscar Jord\`a and Guido Kuersteiner

Papers from arXiv.org

Abstract: Inference 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 20 years along with some new procedures that we introduce here.

Date: 2023-06, Revised 2024-08
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mfd
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http://arxiv.org/pdf/2306.03073 Latest version (application/pdf)

Related works:
Working Paper: Inference for Local Projections (2024)
Working Paper: Inference for Local Projections (2024)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2306.03073

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