Impulse Response Estimation by Smooth Local Projections
提出一种基于B样条平滑的脉冲响应估计方法（SLP），相比传统局部投影法能大幅提高估计精度，且易于实施，通过货币冲击案例展示了如何结合结构识别策略。
Local projections (LP) is a popular methodology for the estimation of impulse responses (IR). Compared to the traditional VAR approach, LP allow for more flexible IR estimation by imposing weaker assumptions on the dynamics of the data. The nonparametric nature of LP comes at an efficiency cost, and in practice, the LP estimator may suffer from excessive variability. In this work, we propose an IR estimation methodology based on B-spline smoothing called smooth local projections (SLP). The SLP approach preserves the flexibility of standard LP, can substantially increase precision, and is straightforward to implement. A simulation study shows that SLP can deliver substantial gains in IR estimation over LP. We illustrate our technique by studying the effects of monetary shocks where we highlight how SLP can easily incorporate commonly employed structural identification strategies.