Student or educator? Sign up with your school email and get 6 months of Pro free.
CoChat
Sign Up
Cited by 732

The DOI matches its Crossref record; 51 of the 51 references it cites were found in a registry or an index.

Local Projections and VARs Estimate the Same Impulse Responses

Open access
Plagborg-Møller, Mikkel, Wolf, Christian K.·2021·Econometrica
DOI 10.3982/ecta17813
Open this paper in CoChat — free account

Abstract

We prove that local projections (LPs) and Vector Autoregressions (VARs) estimate the same impulse responses. This nonparametric result only requires unrestricted lag structures. We discuss several implications: (i) LP and VAR estimators are not conceptually separate procedures; instead, they are simply two dimension reduction techniques with common estimand but different finite‐sample properties. (ii) VAR‐based structural identification—including short‐run, long‐run, or sign restrictions—can equivalently be performed using LPs, and vice versa. (iii) Structural estimation with an instrument (proxy) can be carried out by ordering the instrument first in a recursive VAR, even under noninvertibility. (iv) Linear VARs are as robust to nonlinearities as linear LPs.

Overview

The claims and statistics of this paper haven’t been checked yet.

Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.

A few free checks a day · papers already verified open instantly · results are public

Integrity signals

Registry

Crossref · 10.3982/ecta17813

Cites

51 of 51 references verified0 citation errors · 0 not checkable

Statistics

Verification

Claims the paper makes

The claims and statistics of this paper haven’t been checked yet.

Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.

A few free checks a day · papers already verified open instantly · results are public

Self-check

Percentages, sums and reported differences re-computed from the paper’s own numbers.

The self-check needs the paper’s full text.

Citations

Cites

Show all 51 references

Research works printed but not linked: 16

  1. Almuzara, T., and A. Marcet (2017): “To Diff, or not to Diff?” Preprint.
  2. Bernanke, 1986, Carnegie–Rochester Conference Series on Public Policy, 25, 49
  3. Blanchard, 1989, American Economic Review, 79, 655
  4. Brugnolini, L. (2018): “About Local Projection Impulse Response Function Reliability,” Manuscript, University of Rome “Tor Vergata”. · doi:10.2139/ssrn.3229218
  5. Carriero, 2015, Journal of Money, Credit and Banking, 47, 1223, 10.1111/jmcb.12243 · doi:10.1111/jmcb.12243
  6. Chang, 2007, The Econometrics Journal, 10, 453, 10.1111/j.1368-423X.2007.00216.x · doi:10.1111/j.1368-423x.2007.00216.x
  7. Choi, 2019, Economics Letters, 180, 71, 10.1016/j.econlet.2019.04.017 · doi:10.1016/j.econlet.2019.04.017
  8. Christiano, 2006, Journal of the European Economic Association, 4, 475, 10.1162/jeea.2006.4.2-3.475 · doi:10.1162/jeea.2006.4.2-3.475
  9. Fernández-Villaverde, 2007, American Economic Review, 97, 1021, 10.1257/aer.97.3.1021 · doi:10.1257/aer.97.3.1021
  10. Frisch, 1933, Economic Essays in Honor of Gustav Cassel
  11. Inoue, 2002, International Economic Review, 43, 309, 10.1111/1468-2354.t01-1-00016 · doi:10.1111/1468-2354.t01-1-00016
  12. Ludvigson, S. C., S. Ma, and S. Ng (2020a): “Covid19 and the Macroeconomic Effects of Costly Disasters,” NBER Working Paper No. 26987. · doi:10.3386/w26987
  13. Mertens, 2012, Journal of Economic Dynamics and Control, 36, 1831, 10.1016/j.jedc.2012.06.007 · doi:10.1016/j.jedc.2012.06.007
  14. Miranda-Agrippino, S. (2017): “Unsurprising Shocks: Information, Premia, and the Monetary Transmission,” Manuscript, Bank of England. · doi:10.2139/ssrn.2865585
  15. Paul, 2019, Review of Economics and Statistics, 102, 690, 10.1162/rest_a_00840 · doi:10.1162/rest_a_00840
  16. Wolf, 2020, American Economic Journal: Macroeconomics, 12, 1

Cited by

See all 732

Metadata

Authors
Plagborg-Møller, M., & Wolf, C. K.
Venue
Econometrica
Publisher
The Econometric Society
Published
2021
Volume
89
Issue
2
Pages
955-980
ISSN
0012-9682 (ISSN-L)
DOI
10.3982/ecta17813
OpenAlex
W3136038698
Cited by
732
References
51
FWCI
156.39
Type
journal article
Language
en
Open access
bronze
Funders
National Science Foundation

About these checks

Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.

Statistics and arithmetic are recomputed, not judged.

Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.

What counts as a claim ›How we measure confidence ›How we check this ›

Are you an author, or do you see a problem with this page? Request a review

How to cite

Cite CoChat for the checks on this page, and the paper for its own findings.

This page
CoChat. (2026). Citation check: Local Projections and VARs Estimate the Same Impulse Responses. https://app.cochat.ai/papers/10.3982/ecta17813
The paper
Plagborg-Møller, M., & Wolf, C. K. (2021). Local Projections and VARs Estimate the Same Impulse Responses. Econometrica. https://doi.org/10.3982/ecta17813

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.