首页> 外文期刊>The American economic review >Estimation and Inference of Impulse Responses by Local Projections
【24h】

Estimation and Inference of Impulse Responses by Local Projections

机译:局部投影对冲激响应的估计和推论

获取原文
获取原文并翻译 | 示例
       

摘要

This paper introduces methods to compute impulse responses without specification and estimation of the underlying multivariate dynamic system. The central idea consists in estimating local projections at each period of interest rather than extrapolating into increasingly distant horizons from a given model, as it is done with vector autoregressions (VAR). The advantages of local projections are numerous: (1) they can be estimated by simple regression techniques with standard regression packages; (2) they are more robust to misspecification; (3) joint or point-wise analytic inference is simple; and (4) they easily accommodate experimentation with highly nonlinear and flexible specifications that may be impractical in a multivariate context. Therefore, these methods are a natural alternative to estimating impulse responses from VARs. Monte Carlo evidence and an application to a simple, closed-economy, new-Keynesian model clarify these numerous advantages. (JEL C32, E47, C53)
机译:本文介绍了无需指定和估计潜在的多元动态系统即可计算脉冲响应的方法。中心思想在于估计每个感兴趣阶段的局部投影,而不是像矢量自回归(VAR)那样从给定模型外推到越来越远的视野。局部投影的优点很多:(1)可以通过简单的回归技术和标准回归软件包对其进行估算; (2)它们对错误指定更可靠; (3)联合或逐点分析推论简单; (4)他们很容易适应高度非线性和灵活规范的实验,这在多变量环境中可能是不切实际的。因此,这些方法是估计VAR的脉冲响应的自然替代方法。蒙特卡洛证据以及对简单的封闭经济新凯恩斯模型的应用阐明了这些众多的优势。 (JEL C32,E47,C53)

著录项

  • 来源
    《The American economic review》 |2005年第1期|p.161-182|共22页
  • 作者

    OSCAR JORDA;

  • 作者单位

    Department of Economics, University of California, Davis, One Shields Ave., Davis, CA 95616-8578;

  • 收录信息 美国《科学引文索引》(SCI);美国《化学文摘》(CA);
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类 宏观经济学;
  • 关键词

  • 入库时间 2022-08-17 23:28:38

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱:kefu@zhangqiaokeyan.com

京公网安备:11010802029741号 ICP备案号:京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有
  • 客服微信

  • 服务号