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 autoregression‘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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