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A simple estimator for smooth local projections

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  • Makram El-Shagi

Abstract

In this paper, we propose a simple approach to estimate impulse response function through smoothed local projections, thereby utilizing the flexibility of local projections, while creating smooth and economically plausible impulse response functions as provided by VARs. The approach allows to determine the appropriate degree of smoothing endogenously through a standard information criterion. This also avoids oversmoothing and provides an estimator that is generally more efficient than standard local projections.

Suggested Citation

  • Makram El-Shagi, 2019. "A simple estimator for smooth local projections," Applied Economics Letters, Taylor & Francis Journals, vol. 26(10), pages 830-834, June.
    • Handle: RePEc:taf:apeclt:v:26:y:2019:i:10:p:830-834
    DOI: 10.1080/13504851.2018.1502861
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    Cited by:

    1. Masahiro Tanaka, 2020. "Bayesian Inference of Local Projections with Roughness Penalty Priors," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 629-651, February.
    2. Makram El-Shagi & Yishuo Ma, 2021. "Nine blind men and the PBoC," CFDS Discussion Paper Series 2021/2, Center for Financial Development and Stability at Henan University, Kaifeng, Henan, China.

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