Construct · 1 fields · 1 citations

local projections: a standalone construct

One name. One construct. A landmark on the map.

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Econometrics

estimating impulse responses by running a separate regression for each forecast horizon instead of iterating a VAR.

In econometrics, local projections refers to estimating impulse responses by running a separate regression for each forecast horizon instead of iterating a VAR. This meaning comes from Jordà (2005) in American Economic Review.[1]

Unit
Recovery means
Measured by

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Nearby constructs

horizon5 fields · 5 citationsjingle · one word, five constructs impulse3 fields · 3 citationsjingle · one word, three constructs regression4 fields · 5 citationsjingle · one word, four constructs

References

Jordà, Ò. (2005). Estimation and Inference of Impulse Responses by Local Projections. American Economic Review, 95(1), 161-182. https://doi.org/10.1257/0002828053828518

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