Economics Seminar: General Seemingly Unrelated Local Projections

Event Date: 30 October 2024

Speaker: Michael Pfarrhofer, WU Vienna 

Abstract:

We provide a framework for efficiently estimating impulse response functions with Local Projections (LPs). Our approach offers a Bayesian treatment for LPs with Instrumental Variables, accommodating multiple shocks and instruments per shock, accounts for autocorrelation in multi-step forecasts by jointly modeling all LPs as a seemingly unrelated system of equations, defines a flexible yet parsimonious joint prior for impulse responses based on a Gaussian Process, allows for joint inference about the entire vector of impulse responses, and uses all available data across horizons by imputing missing values.

Published: 7 November 2024