Which Impulse Response Function?

This paper compares standard and local projection techniques in the production of impulse response functions both theoretically and empirically. Through careful selection of a structural decomposition, the comparison continues to an application of US data to the textbook ISLM model. It is argued that local projection techniques offer a remedy to the bias of the conventional method especially at horizons longer than the vector autoregressionā€˜s lag length. The application highlights that the techniques can have different answers to important questions.


Issue Date:
Oct 10 2011
Publication Type:
Working or Discussion Paper
Record Identifier:
http://ageconsearch.umn.edu/record/270753
Language:
English
Total Pages:
46
Series Statement:
WERP 971




 Record created 2018-04-05, last modified 2018-04-05

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