Bayesian Local Projections

Leonardo Ferreira, Silvia Miranda-Agrippino and Giovanni Ricco ()

No 2023-04, Working Papers from Center for Research in Economics and Statistics

Abstract: We propose a Bayesian approach to Local Projections that optimally addresses the empirical bias-variance trade-off intrinsic in the choice between direct and iterative methods. Bayesian Local Projections (BLP) regularise LP regressions via informative priors, and estimate impulse response functions that capture the properties of the data more accurately than iterative VARs. BLPs preserve the flexibility of LPs while retaining a degree of estimation uncertainty comparable to Bayesian VARs with standard macroeconomic priors. As regularised direct forecasts, BLPs are also a valuable alternative to BVARs for multivariate out-of-sample projections.

Keywords: Local Projections; VARs; Bayesian Techniques; Impulse Response Functions; Direct Forecasting (search for similar items in EconPapers)
JEL-codes: C11 C14 C32 (search for similar items in EconPapers)
Pages: 70 pages
Date: 2023-02-12
New Economics Papers: this item is included in nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://crest.science/RePEc/wpstorage/2023-04.pdf CREST working paper version (application/pdf)

Related works:
Working Paper: Bayesian Local Projections (2023)
Working Paper: Bayesian local projections (2021)
Working Paper: Bayesian local projections (2021)
Working Paper: Bayesian Local Projections (2021)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:crs:wpaper:2023-04

Access Statistics for this paper

More papers in Working Papers from Center for Research in Economics and Statistics Contact information at EDIRC.
Bibliographic data for series maintained by Secretariat General () and Murielle Jules Maintainer-Email : murielle.jules@ensae.Fr.