Which Impulse Response Function?

David Ronayne

No 270753, Economic Research Papers from University of Warwick - Department of Economics

Abstract: This paper compares standard and local projection techniques in the production of impulse response functions both theoretically and empirically. Through careful selection of a structural decomposition, the comparison continues to an application of US data to the textbook ISLM model. It is argued that local projection techniques offer a remedy to the bias of the conventional method especially at horizons longer than the vector autoregression‘s lag length. The application highlights that the techniques can have different answers to important questions.

Keywords: Financial; Economics (search for similar items in EconPapers)
Pages: 46
Date: 2011-10-10
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Citations: View citations in EconPapers (13)

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Working Paper: Which Impulse Response Function? (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:uwarer:270753

DOI: 10.22004/ag.econ.270753

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