G2TT
来源类型Discussion paper
规范类型论文
来源IDDP11726
DP11726 Impulse Response Estimation By Smooth Local Projections
Régis Barnichon
发表日期2016-12-28
出版年2016
语种英语
摘要Vector Autoregressions (VAR) and Local Projections (LP) are well established methodologies for the estimation of Impulse Responses (IR). These techniques have complementary features: The VAR approach is more efficient when the model is correctly specified whereas the LP approach is less efficient but more robust to model misspecification. We propose a novel IR estimation methodology -- Smooth Local Projections (SLP) -- to strike a balance between these approaches. SLP consists in estimating LP under the assumption that the IR is a smooth function of the forecast horizon. Inference is carried out using semi-parametric techniques based on Penalized B-splines, which are straightforward to implement in practice. SLP preserves the flexibility of standard LP and at the same time can increase precision substantially. A simulation study shows the large gains in IR estimation accuracy of SLP over LP. We show how SLP may be used with common identification schemes such as timing restrictions and instrumental variables to directly recover structural IRs. We illustrate our technique by studying the effects of monetary shocks.
主题Monetary Economics and Fluctuations
关键词Impulse response Local projections Semiparametric estimation
URLhttps://cepr.org/publications/dp11726
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/540540
推荐引用方式
GB/T 7714
Régis Barnichon. DP11726 Impulse Response Estimation By Smooth Local Projections. 2016.
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