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Inference for local projections

Atsushi Inoue et al.

Econometrics Journal2025https://doi.org/10.1093/ectj/utaf004article
AJG 3ABDC A*
Weight
0.44

Abstract

Summary Inference for impulse responses estimated with local projections presents interesting challenges and opportunities. Analysts typically want to assess the precision of individual estimates, explore the dynamic evolution of the response over particular regions, and generally determine whether the impulse generates a response that is any different from the null of no effect. Each of these goals requires a different approach to inference. In this article, we provide an overview of results that have appeared in the literature in the past twenty years along with some new procedures that we introduce here.

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https://doi.org/https://doi.org/10.1093/ectj/utaf004

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@article{atsushi2025,
  title        = {{Inference for local projections}},
  author       = {Atsushi Inoue et al.},
  journal      = {Econometrics Journal},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.1093/ectj/utaf004},
}

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Evidence weight

0.44

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.32 × 0.4 = 0.13
M · momentum0.57 × 0.15 = 0.09
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.