Inference for Local Projections

Atsushi Inoue, Oscar Jorda and Guido Kuersteiner

No 2024-29, Working Paper Series from Federal Reserve Bank of San Francisco

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.

Keywords: local projections; impulse responses; instrumental variables; confidence bands (search for similar items in EconPapers)
JEL-codes: C11 C12 C22 C32 C44 E17 (search for similar items in EconPapers)
Pages: 32
Date: 2024-08-13
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Working Paper: Inference for Local Projections (2024)
Working Paper: Inference for Local Projections (2024)
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DOI: 10.24148/wp2024-29

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