GLS Estimation of Local Projections: Trading Robustness for Efficiency
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More about this item
Keywords
Impulse response functions; local projections; dynamic models; generalized least squares; efficiency; robustness;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2024-11-04 (Econometrics)
- NEP-ETS-2024-11-04 (Econometric Time Series)
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