Florian Huber, Christian Matthes, Michael Pfarrhofer
arXiv 22 Oct 2024 · Econometrics · 1 citations (OpenAlex)
arXiv:2410.17105 · PDF · DOI · OpenAlex · Extracted main text
We develop a Bayesian framework for the efficient estimation of impulse responses using Local Projections (LPs) with instrumental variables. It accommodates multiple shocks and instruments, accounts for autocorrelation in multi-step forecasts by jointly modeling all LPs as a seemingly unrelated system of equations, defines a flexible yet parsimonious joint prior for impulse responses based on a Gaussian Process, and allows for joint inference about the entire vector of impulse responses. We show via Monte Carlo simulations that our approach delivers more accurate point and uncertainty estimates than standard methods. To address potential misspecification, we propose an optional robustification step based on power posteriors.
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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 | Barnichon R, and Brownlees C (2019) Impulse response estimation by smooth local projections | 0.956 | 8 | 6 | 88% |
| 2 | Lusompa A (2023) Local projections, autocorrelation, and efficiency | 0.874 | 5 | 2 | 100% |
| 3 | Jordà Ò (2005) Estimation and inference of impulse responses by local projections | 0.811 | 4 | 2 | 100% |
| 4 | Ferreira LN, Miranda-Agrippino S, and Ricco G (2025) Bayesian local projections | 0.737 | 3 | 2 | 100% |
| 5 | Grünwald P, and Van Ommen T (2017) Inconsistency of Bayesian inference for misspecified linear models, and a proposal for repairing it | 0.737 | 3 | 2 | 100% |
| 6 | Li D, Plagborg-Mller M, and Wolf CK (2024) Local projections vs | 0.737 | 3 | 2 | 100% |
| 7 | Fisher JD, and Peters R (2010) Using stock returns to identify government spending shocks | 0.693 | 11 | 1 | 100% |
| 8 | Ben Zeev N, and Pappa E (2017) Chronicle of a war foretold: The macroeconomic effects of anticipated defence spending shocks | 0.693 | 8 | 1 | 100% |
| 9 | Romer CD, and Romer DH (2004) A new measure of monetary shocks: Derivation and implications | 0.693 | 6 | 1 | 100% |
| 10 | Stock JH, and Watson MW (2018) Identification and Estimation of Dynamic Causal Effects in Macroeconomics Using External Instruments | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 56 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Quasi-Bayesian Local Projections: Simultaneous Inference and Extension to the Instrumental Variable Method | 0.405 | 1 | 1 |
| 2 | 0.09cm 24.9522 dpd Opening the Black Box of Local Projections . 0.4cm | 0.405 | 1 | 1 |