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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
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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.

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Cites

Research works printed but not linked: 16

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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

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