Comparison of Local Projection Estimators for Proxy Vector Autoregressions

Is There an Information Channel of Monetary Policy?

“…Identification by heteroskedasticity has seen increasing implementation in recent research (Sims, 2021;Lütkepohl and Schlaak, 2022;Bruns and Lütkepohl, 2023;Schlaak et al, 2023;Jarociński, 2024). The approach enables the identification of structural shocks based only on the identifying assumption that the volatilities of the time series have changed.…”

Local Projections vs. VARs: Lessons From Thousands of DGPs

“…Our large-scale set-up differs from prior simulation studies of LP and VAR methods, which have considered at most a handful of DGPs. Examples include Jordà (2005), Meier (2005), Kilian & Kim (2011), Brugnolini (2018, Choi & Chudik (2019), Austin (2020), andBruns &Lütkepohl (2021). These papers either obtain their DGPs from stylized, lowdimensional VARMA models, calibrated DSGE models, and/or a few empirically calibrated VAR models.…”