Bayesian Inference of Local Projections with Roughness Penalty Priors
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DOI: 10.1007/s10614-019-09905-y
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Cited by:
- Atsushi Inoue & `Oscar Jord`a & Guido M. Kuersteiner, 2023.
"Inference for Local Projections,"
Papers
2306.03073, arXiv.org, revised Aug 2024.
- Inoue, Atsushi & Jordà , Òscar & Kuersteiner, Guido, 2024. "Inference for Local Projections," CEPR Discussion Papers 19379, C.E.P.R. Discussion Papers.
- Atsushi Inoue & Òscar Jordà & Guido M. Kuersteiner, 2024. "Inference for Local Projections," Working Paper Series 2024-29, Federal Reserve Bank of San Francisco.
- Òscar Jordà & Alan M. Taylor, 2024.
"Local Projections,"
NBER Working Papers
32822, National Bureau of Economic Research, Inc.
- Òscar Jordà & Alan M. Taylor, 2024. "Local Projections," Working Paper Series 2024-24, Federal Reserve Bank of San Francisco.
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More about this item
Keywords
Local projection; Roughness penalty prior; Bayesian B-spline; Impulse response;All these keywords.
JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
Statistics
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