Local Projections Bootstrap Inference

Maria Gadea () and Oscar Jorda

No 2025-21, Working Paper Series from Federal Reserve Bank of San Francisco

Abstract: Bootstrap procedures for local projections typically rely on assuming that the data generating process (DGP) is a finite order vector autoregression (VAR), often taken to be that implied by the local projection at horizon 1. Although convenient, it is well documented that a VAR can be a poor approximation to impulse dynamics at horizons beyond its lag length. In this paper we assume instead that the precise form of the parametric model generating the data is not known. If one is willing to assume that the DGP is perhaps an infinite order process, a larger class of models can be accommodated and more tailored bootstrap procedures can be constructed. Using the moving average representation of the data, we construct appropriate bootstrap procedures.

Keywords: local projections; inference (search for similar items in EconPapers)
JEL-codes: C31 C32 (search for similar items in EconPapers)
Pages: 59
Date: 2025-09-25
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedfwp:101873

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DOI: 10.24148/wp2025-21

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