3 papers
econ.EM2026
Semiparametric Local Projections
Silvia Goncalves, Ana Maria Herrera, Lutz Kilian +2
We propose a semiparametric local projection estimator of nonlinear impulse response functions for a broad class of structural dynamic models relevant for applied macroeconomics, i…
econ.EM2026
Estimator Averaging of Local Projection and VAR Impulse Responses
Chaoyi Chen, Elena Pesavento, Balazs Vonnak
Local projections (LP) and vector autoregressions (VAR) are the two standard tools for impulse response analysis, but they often display a finite-sample trade-off: LP is typically…
econ.EM2026
Clustered Local Projections for Time-Varying Models
Ana Maria Herrera, Elena Pesavento, Alessia Scudiero
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-…