arXiv 26 Mar 2025 · Econometrics
arXiv:2503.20249 · PDF · DOI · OpenAlex · Extracted main text
Local projections (LPs) are widely used for impulse response analysis, but Bayesian methods face challenges due to the absence of a likelihood function. Existing approaches rely on pseudo-likelihoods, which often result in poorly calibrated posteriors. We propose a quasi-Bayesian method based on the Laplace-type estimator, where a quasi-likelihood is constructed using a generalized method of moments criterion. This approach avoids strict distributional assumptions, ensures well-calibrated inferences, and supports simultaneous credible bands. Additionally, it can be naturally extended to the instrumental variable method. We validate our approach through Monte Carlo simulations.
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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 | Ferreira, Miranda-Agrippino and Ricco Bayesian Local Projections | 1.000 | 6 | 3 | 100% |
| 2 | Tanaka (2020) Bayesian Inference of Local Projections with Roughness Penalty Priors self | 1.000 | 6 | 3 | 100% |
| 3 | Müller (2013) Risk of Bayesian Inference in Misspecified Models, and the Sandwich Covariance Matrix | 0.843 | 3 | 3 | 100% |
| 4 | Stock and Watson (2018) Identification and Estimation of Dynamic Causal Effects in Macroeconomics Using External Instruments | 0.737 | 3 | 2 | 100% |
| 5 | Chernozhukov and Hong (2003) An MCMC Approach to Classical Estimation | 0.644 | 2 | 2 | 100% |
| 6 | Hansen (1982) Large Sample Properties of Generalized Method of Moments Estimators | 0.644 | 2 | 2 | 100% |
| 7 | Kim (2002) Limited Information Likelihood and Bayesian Analysis | 0.644 | 2 | 2 | 100% |
| 8 | Montiel Olea and Plagborg-Mller (2019) Simultaneous Confidence Bands: Theory, Implementation, and an Application to SVARs | 0.644 | 2 | 2 | 100% |
| 9 | Conley, Hansen, McCulloch and Rossi (2008) A Semi-parametric Bayesian Approach to the Instrumental Variable Problem | 0.405 | 1 | 1 | 100% |
| 10 | Frazier, Drovandi and Kohn (2024) Calibrated generalized Bayesian inference | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 32 scored citations.