Working Paper
Inference for Local Projections
Abstract: 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.
Keywords: local projections; impulse responses; instrumental variables; confidence bands;
JEL Classification: C11; C12; C22; C32; C44; E17;
https://doi.org/10.24148/wp2024-29
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Bibliographic Information
Provider: Federal Reserve Bank of San Francisco
Part of Series: Working Paper Series
Publication Date: 2024-08-13
Number: 2024-29