Estimation and Inference of Impulse Responses by Local Projections
提出一种无需设定和估计底层多元动态系统的脉冲响应计算方法，通过在每个感兴趣时期估计局部投影而非从给定模型外推，具有估计简单、对误设更稳健、推断容易且能灵活处理非线性等优点，是向量自回归模型（VAR）的自然替代方案。
This paper introduces methods to compute impulse responses without specification and estimation of the underlying multivariate dynamic system. The central idea consists in estimating local projections at each period of interest rather than extrapolating into increasingly distant horizons from a given model, as it is done with vector autoregressions (VAR). The advantages of local projections are numerous: (1) they can be estimated by simple regression techniques with standard regression packages; (2) they are more robust to misspecification; (3) joint or point-wise analytic inference is simple; and (4) they easily accommodate experimentation with highly nonlinear and flexible specifications that may be impractical in a multivariate context. Therefore, these methods are a natural alternative to estimating impulse responses from VARs. Monte Carlo evidence and an application to a simple, closed-economy, new-Keynesian model clarify these numerous advantages.