Local Projections and VARs Estimate the Same Impulse Responses
Local Projections and VARs Estimate the Same Impulse Responses
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DOI：
10.3982/ecta17813
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发表时间：
2021-03-01
期刊：
影响因子：
6.1
通讯作者：
Wolf, Christian K.
中科院分区：
文献类型：
--
作者：
Plagborg-Moller, Mikkel;Wolf, Christian K.
我们证明了局部投影（lp）和向量自回归（var）估计相同的脉冲响应。这种非参数结果只需要不受限制的滞后结构。我们讨论了几个含义：(i) LP和VAR估计不是概念上分开的过程；相反，它们是简单的二维降维技术，具有共同的估计，但不同的有限样本性质。（ii）基于var的结构识别-包括短期，长期或符号限制-可以等效地使用lp执行，反之亦然。（iii）使用工具（代理）的结构估计可以通过在递归VAR中首先排序工具来进行，即使在不可逆转性下也是如此。（iv）线性var对非线性的鲁棒性与线性lp一样。
We prove that local projections (LPs) and Vector Autoregressions (VARs) estimate the same impulse responses. This nonparametric result only requires unrestricted lag structures. We discuss several implications: (i) LP and VAR estimators are not conceptually separate procedures; instead, they are simply two dimension reduction techniques with common estimand but different finite-sample properties. (ii) VAR-based structural identification-including short-run, long-run, or sign restrictions-can equivalently be performed using LPs, and vice versa. (iii) Structural estimation with an instrument (proxy) can be carried out by ordering the instrument first in a recursive VAR, even under noninvertibility. (iv) Linear VARs are as robust to nonlinearities as linear LPs.