Targeted Local Projections
向结构 VAR 收缩的局部投影
Local projection (LP) and structural vector autoregression (SVAR) are commonly employed to estimate dynamic causal effects of macroeconomic policies at multiple horizons. With enough lags as controls, LP estimators have little bias but their variance can increase with the horizon due to accumulating additional shocks. Because they typically employ fewer lags or suffer from local misspecification, SVAR estimators typically incur higher bias, but their variance decreases with…