Cover Image

Local Projections or VARs? A Primer for Macroeconomists

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Olea, José Luis Montiel, Plagborg-Møller, Mikkel, Qian, Eric, Wolf, Christian K.
Format:	Preprint
Published:	2025
Subjects:	Econometrics
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Local Projections vs. VARs: Lessons From Thousands of DGPs
by: Li, Dake, et al.
Published: (2021)

Double Robustness of Local Projections and Some Unpleasant VARithmetic
by: Olea, José Luis Montiel, et al.
Published: (2024)

Local Projection Inference is Simpler and More Robust Than You Think
by: Olea, José Luis Montiel, et al.
Published: (2020)

Instrumental Variable Identification of Dynamic Variance Decompositions
by: Plagborg-Møller, Mikkel, et al.
Published: (2020)

Full-Information Estimation of Heterogeneous Agent Models Using Macro and Micro Data
by: Liu, Laura, et al.
Published: (2021)

Dynamic Causal Effects in a Nonlinear World: the Good, the Bad, and the Ugly
by: Kolesár, Michal, et al.
Published: (2024)

Standard Errors for Calibrated Parameters
by: Cocci, Matthew D., et al.
Published: (2021)

Projection Inference for set-identified SVARs
by: Gafarov, Bulat, et al.
Published: (2025)

Sparse VARs Do Not Imply Sparse Local Projections: Robust Inference for High-Dimensional Granger Causality
by: Dettaa, Eugene, et al.
Published: (2024)

Large Structural VARs with Multiple Sign and Ranking Restrictions
by: Chan, Joshua, et al.
Published: (2025)

Evaluating Counterfactual Policies Using Instruments
by: Kolesár, Michal, et al.
Published: (2025)

Decision Theory for Treatment Choice Problems with Partial Identification
by: Olea, José Luis Montiel, et al.
Published: (2023)

Large Bayesian Tensor VARs with Stochastic Volatility
by: Chan, Joshua C. C., et al.
Published: (2024)

Stochastic Volatility-in-mean VARs with Time-Varying Skewness
by: Ferreira, Leonardo N., et al.
Published: (2025)

Coarsened Bayesian VARs -- Correcting BVARs for Incorrect Specification
by: Huber, Florian, et al.
Published: (2023)

Theory coherent shrinkage of Time-Varying Parameters in VARs
by: Renzetti, Andrea
Published: (2023)

Forecasting macroeconomic data with Bayesian VARs: Sparse or dense? It depends!
by: Gruber, Luis, et al.
Published: (2022)

Large Bayesian VARs for Binary and Censored Variables
by: Chan, Joshua C. C., et al.
Published: (2025)

Externally Valid Selection of Experimental Sites via the k-Median Problem
by: Olea, José Luis Montiel, et al.
Published: (2024)

Conditional Forecasts in Large Bayesian VARs with Multiple Equality and Inequality Constraints
by: Chan, Joshua C. C., et al.
Published: (2024)

Robust Bayes Treatment Choice with Partial Identification
by: Fernández, Andrés Aradillas, et al.
Published: (2024)

Exploring Monetary Policy Shocks with Large-Scale Bayesian VARs
by: Korobilis, Dimitris
Published: (2025)

Epsilon-Minimax Solutions of Statistical Decision Problems
by: Fernández, Andrés Aradillas, et al.
Published: (2025)

Largevars: An R Package for Testing Large VARs for the Presence of Cointegration
by: Bykhovskaya, Anna, et al.
Published: (2025)

Learning from crises: A new class of time-varying parameter VARs with observable adaptation
by: Hardy, Nicolas, et al.
Published: (2025)

Nonlinear Impulse Response Functions and Local Projections
by: Gourieroux, Christian, et al.
Published: (2023)

Approximate Least-Favorable Distributions and Nearly Optimal Tests via Stochastic Mirror Descent
by: Fernández, Andrés Aradillas, et al.
Published: (2025)

Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian VARs?
by: Feldkircher, Martin, et al.
Published: (2017)

The Global Carbon Budget as a cointegrated system
by: Bennedsen, Mikkel, et al.
Published: (2024)

Targeted Local Projections
by: Nemtyrev, Aleksei, et al.
Published: (2026)

Local Projections Bootstrap Inference
by: Gadea, María Dolores, et al.
Published: (2025)

Random Subspace Local Projections
by: Dinh, Viet Hoang, et al.
Published: (2024)

Causal State-Dependent Local Projections
by: David, Joel M., et al.
Published: (2026)

Inference for High-Dimensional Local Projection
by: Gao, Jiti, et al.
Published: (2026)

Clustered Local Projections for Time-Varying Models
by: Herrera, Ana Maria, et al.
Published: (2026)

Linear Regression with Weak Exogeneity
by: Mikusheva, Anna, et al.
Published: (2023)

The Local Projection Residual Bootstrap for AR(1) Models
by: Velez, Amilcar
Published: (2023)

Estimator Averaging of Local Projection and VAR Impulse Responses
by: Chen, Chaoyi, et al.
Published: (2026)

When and Why State-Dependent Local Projections Work
by: Winkler, Valentin
Published: (2026)

Local Projections Inference with High-Dimensional Covariates without Sparsity
by: Cha, Jooyoung
Published: (2024)