Impulse Response Estimation by Smooth Local Projections

• 成果类型: Article
• 署名作者: Barnichon, Regis; Brownlees, Christian
• 署名单位: Center for Economic & Policy Research (CEPR); Pompeu Fabra University; Barcelona School of Economics
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/rest_a_00778
• 发表日期: 2019-07
• 页码: 522-530
• 关键词: distributed lag; time-series; macroeconomics; run

摘要

Local projections (LP) is a popular methodology for the estimation of impulse responses (IR). Compared to the traditional VAR approach, LP allow for more flexible IR estimation by imposing weaker assumptions on the dynamics of the data. The nonparametric nature of LP comes at an efficiency cost, and in practice, the LP estimator may suffer from excessive variability. In this work, we propose an IR estimation methodology based on B-spline smoothing called smooth local projections (SLP). The SLP approach preserves the flexibility of standard LP, can substantially increase precision, and is straightforward to implement. A simulation study shows that SLP can deliver substantial gains in IR estimation over LP. We illustrate our technique by studying the effects of monetary shocks where we highlight how SLP can easily incorporate commonly employed structural identification strategies.