Local Projections vs. VARs: Lessons From Thousands of DGPs
局部投影与VAR:来自数千种数据生成过程的经验
We conduct a simulation study of Local Projection (LP) and Vector Autoregression (VAR) estimators of structural impulse responses across thousands of data generating processes, designed to mimic the properties of the universe of U.S. macroeconomic data. Our analysis considers various identification schemes and several variants of LP and VAR estimators, employing bias correction, shrinkage, or model averaging. A clear bias-variance trade-off emerges: LP estimators have lower…