Arbeitspapier
Model-Free Impulse Responses
This paper introduces methods for computing impulse response functions that do not require specification and estimation of the unknown dynamic multivariate system itself. The central idea behind these methods is to estimate flexible local projections at each period of interest rather than extrapolating into increasingly distant horizons from a given model, as it is usually done in 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) standard error calculation is direct; and (4) they easily accommodate experimentation with highly non-linear and flexible specifications that may be impractical in a multivariate context. Therefore, these methods are a natural alternative to estimating impulse responses from VARs. An application to a simple, closed-economy monetary model suggests that the output loss and inflation effects of an interest rate shock depend on the stage of the business cycle.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 03-8
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Money and Interest Rates: Forecasting and Simulation: Models and Applications
Forecasting Models; Simulation Methods
- Thema
-
impulse response function
local projection
vector autoregression
nonlinear
VAR-Modell
Schätztheorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Jordà, Òscar
- Ereignis
-
Veröffentlichung
- (wer)
-
University of California, Department of Economics
- (wo)
-
Davis, CA
- (wann)
-
2003
- Handle
- Letzte Aktualisierung
-
26.10.0003, 13:14 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Jordà, Òscar
- University of California, Department of Economics
Entstanden
- 2003
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