Publication Type

Journal Article

Publication Date

7-2007

Abstract

This article proposes an alternative methodology to estimate impulse response functions without imposing parametric restrictions. The impulse responses are estimated by regressing the series of interest on estimated innovations, which are the residuals obtained from a prior-stage ‘long autoregression.’ We establish the consistency and asymptotic normality of the proposed estimator. The proposed estimator is closely related to the estimator of Jordà (2005, American Economic Review 95, 161–182). Our large sample analysis, as a byproduct, establishes the asymptotic equivalence between Jordà's estimator and our estimator, and provides justifications for the statistical inference method used in Jordà (2005) . [ABSTRACT FROM AUTHOR]

Keywords

Local projection

Discipline

Econometrics

Research Areas

International Economics

Publication

Econometrics Journal

Volume

10

Issue

2

First Page

453

Last Page

469

ISSN

1368-4221

Identifier

10.1111/j.1368-423X.2007.00216.x

Publisher

Wiley

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Additional URL

http://dx.doi.org/10.1111/j.1368-423X.2007.00216.x

Included in

Econometrics Commons

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