We propose a clustered local projection (clustered LP) method to estimate impulse response functions in a class of time-varying models where parameter variation is linked to a low-dimensional matrix of observables. We show that the clustered LP …
The ease of estimating linear local projections has made them a popular tool for impulse response function analysis. Koles´ar and Plagborg-Møller’s main goal is to inquire whether local projections (LP) estimands of impulse response functions have a …
Nonlinearities play an increasingly important role in applied work when studying the responses of macroeconomic aggregates to policy shocks. Seemingly natural adaptations of the popular local linear projection estimator to nonlinear settings may fail …
Do state-dependent local projections asymptotically recover the population responses of macroeconomic aggregates to structural shocks? The answer to this question depends on how the state of the economy is determined and on the magnitude of the …
This paper studies inference in cointegrating regessions and vector error correction (VEC) models when the cointegrating errors are a nearly integrated process with a low signal-to-noise-ratio. This combination of persistent, yet low variance error …
We study the construction of nonlinear impulse responses in linear structural dynamic models that include nonlinearly transformed regressors. We derive the closed-form solution for the population impulse responses to a given shock and propose a …
This article investigates the robustness of impulse response estimators to near unit roots and near cointegration in vector autoregressive (VAR) models. We compare estimators based on VAR specifications determined by pretests for unit roots and …
This article clarifies the empirical source of the debate on the effect of technology shocks on hours worked. We find that the contrasting conclusions from levels and differenced vector autoregression specifications, documented in the literature, can …
A number of tests have been suggested for the test of the null of no cointegration. Under this null, correlations are spurious in the sense of Granger and Newbold (1974) and Phillips (1986). We examine a set of models local to the null of no …