| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w30207 |
| 来源ID | Working Paper 30207 |
| Local Projections vs. VARs: Lessons From Thousands of DGPs | |
| Dake Li; Mikkel Plagborg-Møller; Christian K. Wolf | |
| 发表日期 | 2022-07-04 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | We conduct a simulation study of Local Projection (LP) and Vector Autoregression (VAR) estimators of structural impulse responses across thousands of data generating processes, designed to mimic the properties of the universe of U.S. macroeconomic data. Our analysis considers various identification schemes and several variants of LP and VAR estimators. A clear bias-variance trade-off emerges: LP estimators have lower bias than VAR estimators but substantially higher variance at intermediate and long horizons. Consequently, unless researchers are overwhelmingly concerned with bias, shrinkage via Bayesian VARs or penalized LPs is attractive. |
| 主题 | Econometrics ; Estimation Methods |
| URL | https://www.nber.org/papers/w30207 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/587879 |
| 推荐引用方式 GB/T 7714 | Dake Li,Mikkel Plagborg-Møller,Christian K. Wolf. Local Projections vs. VARs: Lessons From Thousands of DGPs. 2022. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w30207.pdf（1083KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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