Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/210448 
Authors: 
Year of Publication: 
2019
Series/Report no.: 
Working Paper No. 891
Publisher: 
Queen Mary University of London, School of Economics and Finance, London
Abstract: 
In recent years local projections have become a more and more popular methodology for the estimation of impulse responses. Besides being relatively easy to implement, the main strength of this approach relative to the traditional VAR one is that there is no need to impose any specific assumption on the dynamics of the data. This paper models local projections in a time-varying framework and provides a Gibbs sampler routine to estimate them. A simulation study shows how the performance of the algorithm is satisfactory while the usefulness of the model developed here is shown through an application to fiscal policy shocks.
Subjects: 
Time-Varying Coefficients
Local Projections
JEL: 
C11
C32
C36
E32
Document Type: 
Working Paper

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