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DC Field | Value | Language |
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dc.date.accessioned | 2018-09-14T09:01:15Z | - |
dc.date.available | 2018-09-14T09:01:15Z | - |
dc.date.issued | 2018 | - |
dc.identifier.citation | Brugnolini, L. (2018). About local projection impulse response function reliability. CEIS Tor Vergata University, CEIS, 16(6), No. 440. | en_GB |
dc.identifier.issn | 2610931X | - |
dc.identifier.uri | https://www.um.edu.mt/library/oar//handle/123456789/33769 | - |
dc.description.abstract | I compare the performance of the vector autoregressive (VAR) model impulse response function estimator with the Jorda (2005) local projection (LP) methodology. In a Monte Carlo experiment, I demonstrate that when the data generating process is a well-specified VAR, the standard impulse response function estimator is the best option. However, when the sample size is small, and the model lag-length is misspecified, I prove that the local projection estimator is a competitive alternative. Finally, I show how to improve the local projection performance by fixing the lag-length at each horizon. | en_GB |
dc.language.iso | en | en_GB |
dc.publisher | CEIS Tor Vergata | en_GB |
dc.rights | info:eu-repo/semantics/restrictedAccess | en_GB |
dc.subject | Autoregression (Statistics) | en_GB |
dc.subject | Monte Carlo method | en_GB |
dc.subject | Time-series analysis | en_GB |
dc.subject | Econometric models | en_GB |
dc.title | About local projection impulse response function reliability | en_GB |
dc.type | other | en_GB |
dc.rights.holder | The copyright of this work belongs to the author(s)/publisher. The rights of this work are as defined by the appropriate Copyright Legislation or as modified by any successive legislation. Users may access this work and can make use of the information contained in accordance with the Copyright Legislation provided that the author must be properly acknowledged. Further distribution or reproduction in any format is prohibited without the prior permission of the copyright holder. | en_GB |
dc.description.reviewed | N/A | en_GB |
dc.contributor.creator | Brugnolini, Luca | - |
Appears in Collections: | 2018 |
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File | Description | Size | Format | |
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About_local_projection_impulse_response_function_reliability_2018.pdf Restricted Access | 564.2 kB | Adobe PDF | View/Open Request a copy |
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