Estimation and inference of impulse responses by local projections
Estimation and inference of impulse responses by local projections
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DOI：
10.1257/0002828053828518
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发表时间：
2005-03-01
影响因子：
10.7
通讯作者：
Jordà, O
中科院分区：
文献类型：
--
作者：
Jordà, O
本文介绍的方法来计算脉冲响应没有规格和估计的基础多元动态系统。其核心思想是估计每个感兴趣时期的局部预测，而不是像向量自回归（VAR）那样从给定模型外推到越来越远的范围。局部投影的优点有很多：（1）它们可以通过标准回归包的简单回归技术进行估计;（2）它们对错误指定更鲁棒;（3）联合或逐点分析推理简单;（4）它们很容易适应高度非线性和灵活规范的实验，这些规范在多变量环境中可能不切实际。因此，这些方法是从VAR估计脉冲响应的自然替代方案。蒙特卡洛证据和一个简单的，封闭经济，新凯恩斯主义模型的应用澄清了这些众多的优势。
This paper introduces methods to compute impulse responses without specification and estimation of the underlying multivariate dynamic system. The central idea consists in estimating local projections at each period of interest rather than extrapolating into increasingly distant horizons from a given model, as it is done with vector autoregressions (VAR). The advantages of local projections are numerous: (1) they can be estimated by simple regression techniques with standard regression packages; (2) they are more robust to misspecification; (3) joint or point-wise analytic inference is simple; and (4) they easily accommodate experimentation with highly nonlinear and flexible specifications that may be impractical in a multivariate context. Therefore, these methods are a natural alternative to estimating impulse responses from VARs. Monte Carlo evidence and an application to a simple, closed-economy, new-Keynesian model clarify these numerous advantages.