Predictive Accuracy of Impulse Responses Estimated Using Local Projections and Vector Autoregressions
Zacharias Psaradakis (),
Martin Sola,
Nicola Spagnolo and
Patricio Yunis ()
Department of Economics Working Papers from Universidad Torcuato Di Tella
Abstract:
We examine the small-sample accuracy of impulse responses obtained using local projections (LP) and vector autoregressive (VAR) models. In view of the fact that impulse responses are differences between multistep predictors, we propose to assess the relative performance of impulse-response estimators using tests for equal predictive accuracy. In our Monte Carlo experiments, LP-based and VAR-based estimators are found to be equally accurate in large samples under a mean squared error risk function. VAR-based estimators tend to have an advantage over LP-based ones in small and moderately sized samples, particularly at long horizons.
Keywords: Local projections; Predictive accuracy; VAR models. (search for similar items in EconPapers)
JEL-codes: C32 C53 (search for similar items in EconPapers)
Pages: 11 pages
Date: 2024-05
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations:
Downloads: (external link)
https://www.utdt.edu/download.php?fname=_173100612465108000.pdf (application/pdf)
Related works:
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:udt:wpecon:2024_02
Access Statistics for this paper
More papers in Department of Economics Working Papers from Universidad Torcuato Di Tella Contact information at EDIRC.
Bibliographic data for series maintained by María Cecilia Lafuente ().