Arbeitspapier
Time-varying local projections
In recent years local projections have become a more and more popular methodology for the estimation of impulse responses. Besides being relatively easy to implement, the main strength of this approach relative to the traditional VAR one is that there is no need to impose any specific assumption on the dynamics of the data. This paper models local projections in a time-varying framework and provides a Gibbs sampler routine to estimate them. A simulation study shows how the performance of the algorithm is satisfactory while the usefulness of the model developed here is shown through an application to fiscal policy shocks.
- Language
-
Englisch
- Bibliographic citation
-
Series: Working Paper ; No. 891
- Classification
-
Wirtschaft
Bayesian Analysis: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Multiple or Simultaneous Equation Models: Instrumental Variables (IV) Estimation
Business Fluctuations; Cycles
- Subject
-
Time-Varying Coefficients
Local Projections
- Event
-
Geistige Schöpfung
- (who)
-
Ruisi, Germano
- Event
-
Veröffentlichung
- (who)
-
Queen Mary University of London, School of Economics and Finance
- (where)
-
London
- (when)
-
2019
- Handle
- Last update
-
10.03.2025, 11:46 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Ruisi, Germano
- Queen Mary University of London, School of Economics and Finance
Time of origin
- 2019
Other Objects (12)
A Time-Varying Parameter Model for Local Explosions
Time-varying parking prices
Time-Varying Network Optimization
Estimating Time-Varying Networks
Time-Varying Occupational Contents
Time-varying linear systems
Time-varying instrumental variable estimation
Robustness of time-varying systems
Stability of time-varying systems
The effects of time-varying observation errors on semi-empirical sea-level projections
Time-varying fiscal multipliers for South Africa: A large time-varying parameter vector autoregression approach
Controlling time-varying confounding in difference-in-differences studies using the time-varying treatments framework
A Time-Varying Parameter Model for Local Explosions
Time-varying parking prices
Time-Varying Network Optimization
Estimating Time-Varying Networks
Time-Varying Occupational Contents
Time-varying linear systems
Time-varying instrumental variable estimation
Robustness of time-varying systems
Stability of time-varying systems
The effects of time-varying observation errors on semi-empirical sea-level projections
Time-varying fiscal multipliers for South Africa: A large time-varying parameter vector autoregression approach
Controlling time-varying confounding in difference-in-differences studies using the time-varying treatments framework
A Time-Varying Parameter Model for Local Explosions
Time-varying parking prices
Time-Varying Network Optimization
Estimating Time-Varying Networks
Time-Varying Occupational Contents
Time-varying linear systems
Time-varying instrumental variable estimation
Robustness of time-varying systems
Stability of time-varying systems
The effects of time-varying observation errors on semi-empirical sea-level projections
Time-varying fiscal multipliers for South Africa: A large time-varying parameter vector autoregression approach