Atsushi Inoue, Òscar Jordà, Guido M. Kuersteiner
arXiv 5 Jun 2023 · Econometrics · publishedEconometrics Journal (2025) · 4 citations (OpenAlex)
arXiv:2306.03073 · PDF · DOI · OpenAlex · Extracted main text
Inference for impulse responses estimated with local projections presents interesting challenges and opportunities. Analysts typically want to assess the precision of individual estimates, explore the dynamic evolution of the response over particular regions, and generally determine whether the impulse generates a response that is any different from the null of no effect. Each of these goals requires a different approach to inference. In this article, we provide an overview of results that have appeared in the literature in the past 20 years along with some new procedures that we introduce here.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Jordà, Òscar (2005) Estimation and Inference of Impulse Responses by Local Projections | 0.843 | 3 | 3 | 100% |
| 2 | Plagborg-Mller, Mikkel, & Wolf, Christian K (2021) Local projections and VARs estimate the same impulse responses | 0.843 | 3 | 3 | 100% |
| 3 | Montiel-Olea, José Luis, & Plagborg-Mller, Mikkel (2019) Simultaneous Confidence Bands: Theory, Implementation, and an Application to SVARs | 0.811 | 4 | 2 | 100% |
| 4 | Montiel Olea, José Luis, & Plagborg-Mller, Mikkel (2021) Local projection inference is simpler and more robust than you think | 0.693 | 9 | 1 | 100% |
| 5 | Driscoll, John C., & Kraay, Aart C (1998) Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data | 0.644 | 2 | 2 | 100% |
| 6 | Jordà, Òscar (2009) Simultaneous confidence regions for impulse responses | 0.644 | 2 | 2 | 100% |
| 7 | Ferreira, Leonardo N., Miranda-Agrippino, Silvia, & Ricco, Giovanni (2023) Bayesian Local Projections | 0.644 | 2 | 2 | 100% |
| 8 | Tanaka, Masahiro (2020) Bayesian inference of local projections with roughness penalty priors | 0.644 | 2 | 2 | 100% |
| 9 | Xu, Ke-Li (2023) Local Projection Based Inference under General Conditions | 0.644 | 2 | 2 | 100% |
| 10 | Plagborg-Mller, Mikkel, Montiel-Olea, José Luis, Qian, Eric, & Wolf,… (2024) Double Robustness of Local Projections and Some Unpleasant VARithmetic | 0.585 | 3 | 1 | 100% |
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