How Reliable Are Local Projection Estimators of Impulse Responses?
比较了局部投影和向量自回归模型在有限样本中估计脉冲响应置信区间的准确性，发现小样本下局部投影渐近区间不如偏差调整的Bootstrap VAR区间准确，且长度更长。
We compare the finite-sample performance of impulse response confidence intervals based on local projections (LPs) and vector autoregressive (VAR) models in linear stationary settings. We find that in small samples, the asymptotic LP interval often is less accurate than the bias-adjusted bootstrap VAR interval, notwithstanding its excessive average length. Although the asymptotic LP interval has adequate coverage in sufficiently large samples, its average length still far exceeds that of bias-adjusted bootstrap VAR intervals with comparable accuracy. Bootstrap LP intervals (with or without bias correction) and asymptotic VAR intervals are shorter on average, but they often lack coverage accuracy in finite samples. © 2011 The President and Fellows of Harvard College and the Massachusetts Institute of Technology.