Estimation and Inference of Impulse Responses by Local Projections

By Ò. Jordà. 2005

2,360 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/b8045745bd2d549d1db5bb46222e88e7d2acb52f

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In Economics and Econometrics

Citations in the corpus

Bank Capital Redux: Solvency, Liquidity, and Crisis (2017, positive): “Specifically, we study how bank capital modulates the economic costs of financial crises with local projections (Jordà (2005)).”
Do Managers Overreact to Salient Risks? Evidence from Hurricane Strikes (2017, neutral): “We follow Jorda (2005) and proceed sequentially.”
Path Forecast Evaluation (2010, methodology): “In Section 3, we relax this assumption for forecasts generated from a VAR or with direct forecasts (e.g. Jordà, 2005; Marcellino, Stock and Watson, 2006) and provide appropriate analytic expressions.”
The distributional effects of capital account liberalization (2018, methodology): “Next, to shed some light on the source of the persistent effect of liberalization of inequality, we use an alternate econometric specification, the local projection method proposed by Jorda (2005).”
The Long and Short (Run) of Trade Elasticities (2020, methodology): “Because tariff changes can be autocorrelated, to estimate the impact of a tariff change at longer horizons we use time series methods, namely local projections (Jordà, 2005).”
Monetary Policy, Credit Spreads, and Business Cycle Fluctuations (2015, methodology): “(12)It should be noted that this set up is quite similar to the local linear projections framework of Jordà (2005).”
The Voice of Monetary Policy (2021, positive): “In particular, we estimate the following specification in the spirit of Jordà (2005): 𝑂𝑢𝑡𝑐𝑜𝑚𝑒 , 𝑏 𝑏 𝑉𝑜𝑖𝑐𝑒𝑇𝑜𝑛𝑒 𝑏 𝑇𝑒𝑥𝑡𝑆𝑒𝑛𝑡𝑖𝑚𝑒𝑛𝑡 𝑏 𝐹𝐹𝑅𝑆ℎ𝑜𝑐𝑘 𝑏 𝐹𝐺𝑆ℎ𝑜𝑐𝑘 𝑏 𝐴𝑃𝑆ℎ𝑜𝑐𝑘 𝑏 𝑆ℎ𝑎𝑑𝑜𝑤𝑅𝑎𝑡𝑒 𝑏 𝕀 𝑁𝑜𝑃𝑟𝑒𝑠𝑠𝐶𝑜𝑛𝑓𝑒𝑟𝑒𝑛𝑐𝑒 𝑒𝑟𝑟𝑜𝑟 (4) where 𝑡…”
How Does Monetary Policy Affect Income and Wealth Inequality? Evidence from Quantitative Easing in the Euro Area (2018, methodology): “…a methodological point of view, we extract the time series of the QE shocks from our multi-country VAR and we use the local linear projection method of Jordà (2005) to derive the effects of the shock on additional variables which are useful to capture alternative scenarios to our baseline analysis.”
Local Projections vs. VARs: Lessons From Thousands of DGPs (2021, methodology): “The basic idea behind local projections, as proposed by Jordà (2005), is to estimate the impulse responses separately at each horizon by a direct regression of the future outcome on current covariates.”
A unified measure of Fed monetary policy shocks (2019, methodology): “In light of standard concerns about potential dynamic mis-specification in VAR models, our first robustness check is to re-estimate using Jorda (2005) local projections.24 This constructs impulse responses from time-series regressions for each point in time.”
The Macroeconomic Impact of Europe’s Carbon Taxes (2020, positive): “This assumption allows us to estimate the dynamic effect on GDP growth of the unexpected component of a carbon tax using the Jordà (2005) local projection (LP) method, adapted to panel data.”