arXiv 15 May 2026 · Econometrics
arXiv:2605.15966 · PDF · DOI · OpenAlex · Extracted main text
This paper introduces a quasi-Bayesian approach for local projection instrumental-variables (LP-IV) estimation. It builds a moment-based quasi-posterior using the generalized method of moments (GMM) objective and applies a roughness-penalty prior to smooth impulse responses over different horizons. The approach maintains the key first-order features of traditional LP-IV methods, while enhancing stability in finite samples and allowing for joint inference through simultaneous bands. Simulations indicate that this regularization decreases root mean squared error compared to standard GMM, especially at medium and longer horizons. An application to Danish electricity markets highlights the method's practical usefulness.
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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 | Chernozhukov, V. & Hong, H (2003) An MCMC Approach to Classical Estimation | 1.000 | 5 | 3 | 100% |
| 2 | Hirth, L (2013) The market value of variable renewables: The effect of solar wind power variability on their relative price | 0.737 | 3 | 2 | 100% |
| 3 | Barnichon, R. & Matthes, C (2018) Functional approximation of impulse responses | 0.644 | 2 | 2 | 100% |
| 4 | Barnichon, R. & Brownlees, C (2019) Impulse response estimation by smooth local projections | 0.644 | 2 | 2 | 100% |
| 5 | Clò, S., Cataldi, A., & Zoppoli, P (2015) The merit-order effect in the Italian power market: The impact of solar and wind generation on national wholesale electricity pr… | 0.644 | 2 | 2 | 100% |
| 6 | El-Shagi, M (2019) A simple estimator for smooth local projections | 0.644 | 2 | 2 | 100% |
| 7 | Pfenninger, S. & Staffell, I (2016) Long-term patterns of European PV output using 30 years of validated hourly reanalysis and satellite data | 0.644 | 2 | 2 | 100% |
| 8 | Piger, J. & Stockwell, T (2025) Differences from Differencing: Should Local Projections with Observed Shocks Be Estimated in Levels or Differences? | 0.644 | 2 | 2 | 100% |
| 9 | Sensfu, F., Ragwitz, M., & Genoese, M (2008) The merit-order effect: A detailed analysis of the price effect of renewable electricity generation on spot market prices in Ger… | 0.644 | 2 | 2 | 100% |
| 10 | Staffell, I. & Pfenninger, S (2016) Using bias-corrected reanalysis to simulate current and future wind power output | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 44 scored citations.