Comparison of Local Projection Estimators for Proxy Vector Autoregressions

Journal of Economic Dynamics and Control ◽

10.1016/j.jedc.2021.104277 ◽

2021 ◽

pp. 104277

Author(s):

Martin Bruns ◽

Helmut Lütkepohl

Keyword(s):

Vector Autoregressions ◽

Local Projection ◽

Projection Estimators

Comparison of Local Projection Estimators for Proxy Vector Autoregressions

SSRN Electronic Journal ◽

10.2139/ssrn.3855339 ◽

2021 ◽

Author(s):

Martin Bruns ◽

Helmut Luetkepohl

Keyword(s):

Vector Autoregressions ◽

Local Projection ◽

Projection Estimators

How Reliable Are Local Projection Estimators of Impulse Responses?

Review of Economics and Statistics ◽

10.1162/rest_a_00143 ◽

2011 ◽

Vol 93 (4) ◽

pp. 1460-1466 ◽

Cited By ~ 34

Author(s):

Lutz Kilian ◽

Yun Jung Kim

Keyword(s):

Impulse Responses ◽

Local Projection ◽

Projection Estimators

Identifying Structural Vector Autoregressions Via Changes in Volatility

SSRN Electronic Journal ◽

10.2139/ssrn.2188433 ◽

2012 ◽

Cited By ~ 2

Author(s):

Helmut Luetkepohl

Keyword(s):

Vector Autoregressions ◽

Structural Vector

About Local Projection Impulse Response Function Reliability

SSRN Electronic Journal ◽

10.2139/ssrn.3229218 ◽

2018 ◽

Cited By ~ 1

Author(s):

Luca Brugnolini

Keyword(s):

Impulse Response ◽

Response Function ◽

Impulse Response Function ◽

Local Projection

A space-time finite element method based on local projection stabilization in space and discontinuous Galerkin method in time for convection-diffusion-reaction equations

Applied Mathematics and Computation ◽

10.1016/j.amc.2020.125937 ◽

2021 ◽

Vol 397 ◽

pp. 125937

Author(s):

Ziming Dong ◽

Hong Li

Keyword(s):

Finite Element Method ◽

Finite Element ◽

Galerkin Method ◽

Discontinuous Galerkin ◽

Discontinuous Galerkin Method ◽

Diffusion Reaction ◽

Local Projection ◽

Convection Diffusion ◽

Local Projection Stabilization ◽

Reaction Equations

Is bigger more effective? shock size and the efficacy of monetary policy

Macroeconomic Dynamics ◽

10.1017/s1365100521000274 ◽

2021 ◽

pp. 1-10

Author(s):

Toyoichiro Shirota

Keyword(s):

Monetary Policy ◽

Projection Method ◽

Monetary Policy Shocks ◽

Information Effect ◽

Local Projection ◽

Policy Effects ◽

Potential Source ◽

The Us ◽

Policy Shocks ◽

Us Monetary Policy

Abstract This study empirically examines whether shock size matters for the US monetary policy effects. Using a nonlinear local projection method, I find that large monetary policy shocks are less powerful than smaller monetary policy shocks, with the information effect being the potential source of the observed asymmetry in monetary policy efficacy.

Generalized local projection stabilized nonconforming finite element methods for Darcy equations

Numerical Algorithms ◽

10.1007/s11075-021-01117-6 ◽

2021 ◽

Author(s):

Deepika Garg ◽

Sashikumaar Ganesan

Keyword(s):

Finite Element ◽

Finite Element Methods ◽

Nonconforming Finite Element ◽

Local Projection ◽

Darcy Equations ◽

Nonconforming Finite Element Methods

Projection Estimators for Generalized Linear Models

Journal of the American Statistical Association ◽

10.1198/jasa.2011.tm09774 ◽

2011 ◽

Vol 106 (494) ◽

pp. 661-671 ◽

Cited By ~ 12

Author(s):

Andrea Bergesio ◽

Victor J. Yohai

Keyword(s):

Generalized Linear Models ◽

Linear Models ◽

Projection Estimators

AUTOMATIC INFERENCE FOR INFINITE ORDER VECTOR AUTOREGRESSIONS

Econometric Theory ◽

10.1017/s0266466605050073 ◽

2005 ◽

Vol 21 (01) ◽

Cited By ~ 17

Author(s):

Guido M. Kuersteiner

Keyword(s):

Infinite Order ◽

Vector Autoregressions ◽

Automatic Inference